The RATS Software Forum

The reason for not sticking with percentages is to make the impulse responses directly interpretable as fiscal "multipliers", i.e. one dollar of G changes Y by x dollars. It is indeed very common in the literature to evaluate Y/G at the sample average. In any case, would you say that for a...

At the risk of beating the dead horse and apologizing for bringing variations of this up again.... When estimating a VAR in which some variables are entered in logs and some are not, I have problems when trying to convert or rescale the responses such that they can be interpreted in their original u...

Dear Todd,

I am facing the exact sam issue right now. Have you (or maybe someone else) found a practical solution to this since you posted this a few years ago?

Any suggestions would would be appreciated indeed!

Hi, I am trying to replicate Bernanke, Boivin, Eliasz's (2005) FAVAR model but with factors extracted by principal components. When treating the federal funds rate as an observable factor and identifying the monetary policy shock recursively, BBE run a regression of the factors extracted from all in...

Dear Todd, in VARTVPKSC.src, STEP 4: Draw {select_draw_1,....,select_draw_T}, the states used in the KSC mixture distribution - could you please tell me why we have to divide by sqrt(var_mixdist(i)) in line 4 of the following loop? do ii = 1,nvar do vtime=stpt,endpt ewise tempinside(i) = (ystar2mat(...

Thank you very much for pointing this out in such detail. I did indeed miss that Psi contains the variances of the respective equations such that they do not have to appear again in Omega. It all makes sense now and I can see it in the paper and in your code at comp minnprec((j-1)*lags+l) = univar(j...

Dear Todd, thank you very much for your reply and the attached paper and code. As you pointed out Gibbs sampling is no longer needed when using the natural conjugate Normal-Wishart prior, at the cost of having to impose symmetry across equations when specifying the prior coefficient covariance matri...

Dear all, I am trying to replicate the Normal-Wishart Litterman Prior as in Kadiyala and Karlsson, 1997 (JAE) pp. 104-105. GIBBSVAR.src handles the Normal-Diffuse version of it, but I want the prior for the residual covariance matrix to be informative. I know that due to the natural conjugacy of the...