The RATS Software Forum

Dear Tom, I was told by one of the authors that because of proprietary issues, they cannot share the data. As for the Estima RATS implementation, he told me that they modified the BBE FAVAR RATS code to extract common factors from the 16 EU sovereign bond yield spreads. My confusion stems from my la...

Hi Tom,

I'm still waiting for their reply.

TomDoan wrote:Have you requested the data (and programs if possible) from the authors?

I'm interested with the codes for estimating the Diebold-Yilmaz spillover index using the Factor Augmented VAR (FAVAR) approach because I want to see how it differs from a VAR model that includes the CBOE volatility index (VIX), which is used to control for common shocks. I'm looking for the RATS co...

I'm looking for the RATS code to implement Claeys & Vasicek (2014), "Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe," ECB Working Paper Series No. 1666, April 2014. The paper is available at https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1666.pdf...

Hi Tom, How different is the Killian & Vigfusson (2011) to that of Balke (2000). Thank you. The attached zip has three programs. FIGURE6.RPF does the bootstrap calculations in Figure 6. The inner part of the DO I...loop are the calculations for a single "delta". Note that this does a m...

Thanks a lot for pointing this out. I changed it from 5 to 4 and I was able to generate the chart. You're using 5 for the number of graphs per shock, but there are only 4 (+/-1 and +/-2) dec vect[series] graphs( 5 ) compute klabels=||"+1 SD","+2 SD","-1 SD","-2 SD&...

Where is the error? It should tell you the location if it's inside a loop. If it isn't, just use the Edit-Show Last Error to show you the line that causes it. Here's the error: ## MAT15. Subscripts Too Large or Non-Positive Error was evaluating entry 1 The Error Occurred At Location 155, Line 3 of ...

May I know what's causing this error: ## MAT15. Subscripts Too Large or Non-Positive The code is as follows: * * * This program computes average IRF for output, conditional on being in * the upper or lower regime, averaging across initial conditions and then, * for each initial setting, across boots...

There are literally dozens of examples that do the impulse responses of various forms of VAR's. We did the forecasts in that example because we didn't have many examples of how to handle forecasts. Look at the MONTEVAR.RPF example. Everything after the %MODELSETCOEFFS instruction in MONTEVAR is for...

Thanks a lot. I did this for Belgium and true enough, the chosen specification is LSTR for lag 1 of exchange rate depreciation and Linear for lags 2, 3 and 4. However, the LSTR model (even the ESTR model) estimated in RATS uses lag 4 of exchange rate depreciation.

Dear Tom, May I know how linearity tests against STR model was implemented? Table A1, p.23 of paper on Asymmetric Exchange Rate Pass-Through by Ben Cheikh presents these linearity tests but the codes were not included in the attached RATS code. The examples in the RATS Workbook using @STARTEST use o...

I ask this because I'm getting the error message: ##MAT14. Non-invertible Matrix. Using Generalized Inverse for Symmetric. The Error occured at location 1167, line 93 of THRESHTEST Should I also exclude the lags which are insignificant? Thank you. CALENDAR(Q) 1980:1 DATA(FORMAT=XLSX,ORG=COLS) 1980:0...

I am trying to estimate ERPT initially with the following variables: dlcpi, dlexrate, dlpm, and ygap where: dlcpi = first log-difference of consumer price index * 100 dlexrate = first log-difference of nominal exchange rate * 100 dlpm = first log-difference of price of imports * 100 ygap = output ga...

TomDoan wrote:Comment out the @ARCHTEST procedure calls. They're overwriting the regression information.

Thanks a million, Tom. Perfect!

It looks like it needs SEASONAL SEASONS at some point before the LINREG's start. Thanks a lot for your help. After adding SEASONAL SEASONS in the codes, the program now runs smoothly up to the part with McLeodiLi and ARCH tests. However, I get errors when I get to the estimation of the transition f...