The RATS Software Forum

Dear Tom,
To use the code, is it a precondition that the variables should be stationary in the VAR model?
Thank you.

Dear Tom
Thank you. Do you have a plan to write estima code for the paper, which has different time intervals?
Barunik and Krehlik (2018), Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk, Journal of Financial Econometrics, 16 (2), pp. 271--296

Hi Tom, Thank you so much for your comment. Now I use my own data and used the calendar option, so figures are coming with dates on the X-axis. I attach the data and code here. But, two problems. First, although the monthly data starts from 1996:1, the graphs are created from late 2012. How can I ge...

Hello Tom,
I changed the excel file with regular dates (yearly). I attach the file here. I ran the program again with the modified excel file, still the date is not shown in the graphs. Can you please help me?

Hello, In all the figures, the X-axis shows the serial number of the observation like 200, 400,..., etc. Instead, how can I put the dates like 1/25/1999, ..., 2/25/2000, etc. in the X-axis in all the graphs. I am using a smaller set of data with only 150 observations and I need to put dates in the X...

Dear Tom,
When I get Graph 2 (response to positive and negative shock with and without M terms), there is no confidence interval associated with the graphs. How can I show a confidence interval around both responses (with and without M terms)?
Thank you.

Hi Tom, It seems to me that when we are creating a monetary policy shock and a stock price shock, we are creating a 1% change of the corresponding variables, am I right? Is there any way of changing the code and creating a 1 standard deviation change of the corresponding variables to create the shoc...

Hi Tom, There are some numbers in the 5 variable model code that I do not understand. For example, in one line I see that "@varirf(model=varstockp,steps=nsteps,factor=f,page=byshock,$ shocks=shocklabels,varlabels=varlabels,accumulate=||2,3,4||)" In another line, I see that "option vec...

Dear Team,
The identification here is based on recursive structure. Is there any way to impose other identification structures by using zero restrictions only? If yes, can you please help?
Thank you.

Hi Tom, I am using a two variable model with X and Y. I want the graphs of the response on X only when there is a shock in Y in both the regimes. I used the following code @MCProcessIRF(model=MSSysRegModel,lower=lower,upper=upper,irf=irf) spgraph(vfields=1,hfields=2,$ xlabels=||"Regime 1",...

Hi Tom, You mentioned, "that's a rather complicated model for just 126 observations". I agree but what other alternative models I can use that consider the interaction and spillover effects among the three variables? You mentioned, "do you expect that the one model is going to be able...

Hi Tom, I am using the attached code and dataset to run a MV-GARCH, BEKK model. The model does not converge, but the result shows that last criterion for convergence was 0.0000000. As this value is zero, are the coefficients reliable to use (even the model does NOT converge)? If they are not reliabl...

Hi Tom
Thanks for your suggestion. After the sign restrictions are imposed, how could I normalize all the responses from a 1% increase in federal funds rate in my code? Thank you so much.
KI

Dear Tom I am using a 6 variable sign restriction VAR model with the last variable is the federal funds rate. I am interested with finding the response of all variables from a 1% increase in federal funds rate. The attached code works well with a 1 SD increase in federal funds rate. To get the respo...

Dear Todd/Tom I will really appreciate the following two helps from the code. 1. In the code we are getting impulse responses for 1 SD increase in fedrate. Can you please show how I can get impulse responses for 1% increase in fedrate? 2. Besides the IRFs from 1% increase in monetary shock, how can ...