The RATS Software Forum

Is there a way to implement the LASSO and elastic net shrinkage in the VAR estimation before computing the variance decompositions? The authors apply this method to a high-dimensional VAR in their most recent paper: Demirer, Diebold, Liu and Yilmaz (2017), Estimating Global Bank Network Connectednes...

I use a slightly modified version of the code above. I have 3 variables and include a shift dummy in the matrices A and B for the spillovers from variable 1 to variable 2. Hence, I now have (a12+a12d*D) and (b12+b12d*D). My main objective is to ascertain whether volatility spillovers increase or dec...

Thanks Tom. This works fine.

Dear all, I would like to estimate a bivariate VECM-BEKK model and then compute the orthogonal vector to the error correction coefficients which I need for the calculation of information shares. However, I run into problems when I try to do this in RATS. I have done this procedure before in the fram...

%decomp(h(t)) would give the Cholesky factorization of the covariance matrix at T. What is it that you want to do with them? How you would use that depends upon what the end result is to be. Thank you Tom. Is it possible to generate a separate series for each element of the lower triangular over th...

Dear all, I estimate a standard bivariate VECM-BEKK model with futures and spot prices and need to conduct a cholesky decomposition of the estimated variance-covariance matrix at each time t of my sample period. I know how to do the Cholesky for a time-invariant covariance matrix but I was not able ...