The RATS Software Forum

TOM! Thanks so much! Perfect! Now it all makes more sense!

I enclosed the code for two countries, they both run with the same data set. While for Burundi, the W significance is indeed little, I also posted the code for Rwanda. There it is much significant, but RwIn is still tied to 0 (an that is the case for any country model I run). In my eyes that makes n...

not really..

... and why are BuIn responses from W-shocks bound to 0 in the the first period (happens for any country model), but is not the case for TOT-shocks... It shouldnt be bound to 0 ideally, or is there a reason why it is like that?!

OK.. But cant I rewrite the the VECM as a SE by creating the cointegration vector and then just compose the VECM.. The thing is that the model consists of regional and domestic variables and i am primarily interested in the effect of the exo. variables only towards the domestic variables.. That why ...

Thanks Tom, thats a great idea. I just run a simultaneous equation model and eliminate the exogenous variable of interest from the equation of the endogenous variable of interest, right? But you dont have anything in mind that can be used to find out their relative importance?! - relative to the oth...

Hi Tom. Is there a certain way that RATS shows me the partial R^2 for my exogenous variables (TOTC and W)? Currently it only presents the t-stat and its significance! Thanks. my code: * * * Monte Carlo integration with shock to "exogenous" variable * compute lags=2 ;*Number of lags compute...

Hi Tom,

I have tried it on different PCs, reinstalled RATS, shortened the equation, ... but RATS keeps crashing when the the Progress Box of the MC integration appears. Why is that? Thanks!

Ah ok. thanks. So i added # lwEAC_B lBuGDP wEACI_B BuIn underneath the first equation as well. And yes, those two variables are stationary. It seems to work now. But for some reason my RATS always completely crashes and shut down as soon as the MC simulation starts (the estimation though seems to wo...

Great, Tom. Thanks so much. So I have an VECM with 2 cointegration relationships (stationary inflation) and 3 strongly exogenous variables that should enter contemporaneously as well as the first lag. I want to see the impulse responses of my 3 exogenous variables on my endogenous (with condi. I hav...

In terms of impulse response function of completely exogenous variables in a VECM-X model, does it matter which identification procedure I chose for the endogenous variables or is that unrelated?

Hi, I have a quite specific question, but lets see. Would appreciate help very much! I am running a cointegration model, which I identify based on Anders Warne(1993)'s common trend model. http://www.texlips.net/awarne/code.html In the webpage above he provides the code, where file ctair.src contains...

Hi, I have set up a VECM for regional and local variables. I also included some exogenous global variables. Now my question is how, can I compare the importance of local/regional vs global variables as the FEVD does not give my any input on the global variables. Is there a formal way of using the R_...

{
if factor(3,4)<0.0
compute factor=factor*%diag(||1.0,1.0,1.0,-1.0||)
}

Tom, this sign flipping might give my demand shock the positive effect on output , but it also flipps the positive demand shock to a negative response in inflation. Thats not really good. How to deal with that?

OK, I wont do the unit shocks then. I have one more question that is not necessarily RATS related, but I was unable to find the solution anywhere else. Would be grateful if you can help me out here as well. When I compare the IRFs of different countries. Do I need to calculate the correlation of the...