The RATS Software Forum

I used a VARX model and shock the exogenous variables and examine the response of endogenous variables. In this case, it is normal to have zero response value after shock?

Thanks Tom. Thanks for your reply. Do I just need to change the endogenous variables/data period and include the exogenous variables in deterministic option, and keep the rest the same? For the deterministic option, I put " det constant lhashbtc dlb dtb*lhashbtc ". Where lhashbtc is my exo...

Hello Tom, Can I use @varlagselect on VARX model?

Hello Tom, I am using RATS version 9.0 and used @mcgraphirf to generate impulse response. On my y-axis (dependent variable axis) the scale is showing 7 decimal places already. However these numbers are all zero so I would like to increase the number of decimal places. Is there a way to do that? It m...

Dear Tom, I used the tried to compute a shock from exogenous variable accroding to "MONTEEXOGVAR.RPF". I have changed the data name, dates, variable names. I have also changed the lag length into 1 lag, and the number of keeper draws (ndraws) to be 50 instead of 10000. Also I have estimate...

Thanks for your reply! Just to confirm that, So now I have rejected the null hypothesis, so that i can conclude there is no unit root if i allow for a structural break at 5% significant level? the series from exogenous variables are then stationary, so i do not need to add any dummy variables into m...

hello, i have a VAR model with some exogenous variables and using daily data (7days a week).For two of the exogenous variables, I used lee strazicich unit root test with one structural break which allows for both intercept and trend. And the test-statistics are 5% significant. Now I am trying to est...