The RATS Software Forum

There's nothing obviously wrong with them. I can't say anything beyond that---it's your job to figure out if they make sense theoretically. Dear Tome, Thanks for your reply. I do have the theoretical justification of the response and it makes very sense. What worries me is that the response does no...

Hi Tom,

Does the impulse responses I attached look fine to you?

Hi there, I am following Kim and Robin (2000) and I have few questions that I would appreciate any help or feedback on them: 1) are there any codes available for that paper now? 2) As you might know, KR uses the log of levels of the variables in their model and so I follow that. The impulse response...

OPEN DATA "C:\data.xls" CALENDAR(M) 1986:01 DATA(FORMAT=XLS,NOLABELS,ORG=COLUMNS) 1990:01 2013:07 cpi ip inflation * Is what I have above right? I assume this will run my model on the subsample 1990:01 to 2013:07. If not, how to run different subsamples with same program and data file ? m...

If I want to use two different error bands in the same impulse response like what many papers show, say I have the same model, same response functions but I need the same graph (impulse response) to show two different confidence intervals in same graph ... is that doable using RATS ? Thanks in advan...

Hey Tom, I hope things are going well. I don't want any error bands for the variance decomposition, what I need is to estimate the variance decomposition for the over identified model I have. I know how to do it for Cholesky decomposition but not when I have some over identifying restrictions. Is th...

Hey Shawn, I have a question for you... How this confidence interval different than the one estimated using "MONTESVAR.RPF " ? I assume you want to estimate impulse response functions... I do have relatively small sample, I used "MONTESVAR.RPF " to estimate my impulse functions b...

How to estimate the variance decomposition for the model 2 ? keep in mind I'm using "MONTESVAR.RPF " I just couldn't figure out how to estimate that with over identified model. Thanks!

Is it standard in the literature to use 16-84 % band noticed some of the paper that replicated with RATS here use the 16-84 % band .. I just realized this today, when I modify 90 or 95% I don't get the nice results as before...The error bands are large and most of them are insignificant .. this is r...

Urgent question!.... When we use "MONTESVAR.RPF " and "MCGraphIRF" to graph the impulse functions.. nothing I could find that specify the confidence intervals? I only found the following in "MCGraphIRF" Not sure if it refers to confidence intervals PERCENTILES=||percent...

I think you meant the 'seventh equation because the odd coefficients are those in the seventh equations not the sixth one. Can you please elaborate on what this results mean? I don't quite get what you said. 14. AX(14) 959253.047583 205879450.337526 0.00466 0.99628243 15. AX(15) -11140753.304543 239...

I used a different data set to estimate and test the over identifying restrictions but I oddly got wired estimates that tend to explode. Could you plz look at the results and let me know if any thing wrong with it? I'm thinking about using Cholesky estimates as initial values, do you think it is a g...

The marginalized estimator isn't maximum likelihood so it doesn't generate a LR statistic. How can we test the over identifying restrictions ? Is it acceptable to run the model 2 without the impulses and use its results for over identifying restrictions test and use the impulse responses from the m...

Dear Tom, Few questions about the codes 1) It seems that the model gives different effective sample size every time I run it.. is that normal? 2) When I modified model 2 to include the impulse responses under the over identified model, the result doesn't report the test for the over identifying rest...

Thanks again. Just to be clear about this. You said "If you're getting under 10% effective sample, you may need to fatten up the tails by either decreasing NU or increasing the 1.2 scale factor" When I run the original program I get Effective sample size 1056.61521 When I run mine with 5 l...