The RATS Software Forum

Dear Tom, I would like to run a "shutdown" SVAR (in the spirit of Sims&Zha and Bachman&Sims JME 2012) but applied to technology shocks, rather than to government spending shocks. Accordingly, the identification scheme is a long-run one and is based on Blanchard and Quah (AER 89). I...

Many thanks Tom. Your replies are versy useful.
Romain

Dear all, I estimate Jorda’s local projections. The LHS variable (called it Y) is in first difference in the local regressions. My interest is in getting the IRFs of the LHS variable in level. Accordingly, if the vector of coefficients of interest (the one associated with the shock variable in the l...

Many thanks, Tom. It helped me a lot and now I get what I wanted to.
Best
Romain

Hi, I have a very simple question. I run panel regressions and get the residuals (series called RESIDS). RESIDS has a panel format and I would like to transform it in a time series format, i.e. one series of residuals for each individual. To be clear, an example with N = 2 individuals and T = 3 peri...

Dear Tom,
Thanks for your quick and clear reply.
Best
Romain

Dear RATS team, I would like to run rolling FMOLS regressions on a panel dataset using a (fixed) moving window across time (the number of individuals is constant over the rolling regressions and N=21 in my case). To be more precise I would like to obtain the FMOLS for all 21 individuals: - from 1970...

Dear Tom,
Thanks for your quick reply. I will have a look on the panel e-course to find a solution.
Best.
Romain

No one has an idea to fix the problem?
Thanks,
Best
Romain

Dear all, I would like to obtain the IRF with confidence bands for the univariate autoregressive model in panel data (my dataset comprises 21 countries and 38 observations but I want to estimate the model only for 17 countries). I try to adapt to an equation in panel form the code posted by T. Doan ...

Tom, I compared my own procedure SRLRDoDraws with BQDoDraws.src (available on RATS' website). The two are identical (it's not a suprise since I used existing programms to built my own procedure) except for the computation of the factor of the long-run matrix. While I use the function @shortandlong, ...

Thanks Tom for your interesting reply. I never thought it could come from the point you raised in your reply. I must think about it much harder. If I find a solution to fix the problem, I will let a new message on the forum.
Best
Romain

Dear Tom, I would like to estimate an SVAR model which is an extension of the Blanchard and Quah’s decomposition to the case of 3 or 4 variables (i.e. the long-run response (3*3) o r(4*4) matrix is lower triangular). To practice myself with all the RATS codes and procedures, I built a little program...

OK, many thanks, Tom.

Dear all I estimate a Panel VAR model, the panel consists in 20 countries and 42 observations for each country, the dataset is perfectly balanced. Additionally, I have three variables (X1, X2 and X3), two lags and two deterministic variables (a country fixed effect and a country-specific linear tren...