The RATS Software Forum

Hello, I am forecasting 12 steps ahead with an AR model with rolling window using the following code: "clear rhatar rhatar2 rhatar3 rhatar4 rhatar5 rhatar6 rhatar7 rhatar8 rhatar9 rhatar10 rhatar11 rhatar12 do regend=2018:2,2019:2 boxjenk(ar=||1,2||,define=ar2) Dsalsn regend-60 regend uforecast...

Dear I successfully ran Kilian (1998) using the macromodel file. However, after the line: spgraph(hfields=3,footer="OLS Responses to unit shock in FFR") graph(number=0,header="Log IP") # baseirf(2,7) graph(number=0,header="Log CPI") # baseirf(3,7) graph(number=0,header=...

Dear Tom, I am trying to write a paper on effectiveness of monetary policy. my Y is the short-term interest rate (operational target of the CB denoted by R). X is a big matrix of data. X1 is a big matrix of slow moving variables. Once i have applied the @princomp command on slow and overall variable...

How to create seasonal dummies with 1 for each month in each year and 0 otherwise? e.g. Jan 2000, 2001, 2002, 2003, 2004 = 1 and 0 otherwise and same for all 11 months so that i can use it in a model with seasonal dummies. Thanks

Regards,

The variables are govt debt, govt expenditure (fiscal policy measure), interest rate (monetary policy measure), stock market index (measure of wealth), output and inflation. and sorry only inflation is stationary ... so I believe that these variables would be co integrated because they are policies ...

Hello, So I stand at this place: My CATs result is as follows: I(1)-ANALYSIS p-r r Eig.Value Trace Trace* Frac95 P-Value P-Value* 6 0 0.743 189.788 179.725 95.514 0.000 0.000 5 1 0.593 105.431 100.924 69.611 0.000 0.000 4 2 0.375 49.753 48.122 47.707 0.031 0.046 3 3 0.182 20.577 20.102 29.804 0.395 ...

How to interpret the results of the RATIO test? For example: Exogeneity of Real Variables Log Determinants are -38.037118 -37.640427 Chi-Squared(75)= 62.677151 with Significance Level 0.84422665 So the log determinants of the two models compared is not equal, so would it be interpreted that the mode...

I also have the same question. Also how can I model the following:

A standard VAR with all variables of interest say e.g. x1,x2,x3,x4,x5 and then compare with one which has x1,x2,x3,x4,x5 but only lags of x5 enters the equation for x5 and none other?

Regards,

In the example that i gave above, if all the variables X1 to X5 are stationary in levels and I use estimate command it will estimate the model in first differences right? In that case aren't the VDCs and IRFs going to be of the system estimated in first differences? how to get responses for variable...

I have tested all series with and without trend in ADF tests and the results are that all of them are non-stationary in log-levels or levels. So given this result of cointegration, do you mean all variables are stationary or the relationships that have been found are stationary, because that is what...

Hey, I(1)-ANALYSIS p-r r Eig.Value Trace Trace* Frac95 P-Value P-Value* 4 0 0.641 252.137 249.028 40.095 0.000 0.000 3 1 0.364 96.305 95.478 24.214 0.000 0.000 2 2 0.153 27.610 27.476 12.282 0.000 0.000 1 3 0.016 2.378 2.375 4.071 0.144 0.1443 I hope you are fine. So this would be a case of Full Ran...

The first column is the horizons, I think you wanted to say that first row i.e. the median results? Right?

Once again just to make sure, when we run errors command we get VDCs for each variable, these confidence bands are relevant to those right?

So the basic question that i wanted to know answer to is that: When we run the errors command, it computes the variance decompositions for each variable in the system? The @MCFEVDTABLE procedure only computes the lower, median and upper bounds for the estimates? e.g. if forecast error variance as pe...

Thank you, so this program gives us only the confidence bands, we will still borrow the point estimates from Errors command? and these are only CI for those point estimates i.e. 5% and 95% confidence bands? Right?

Regards,

Ateeb

It is not working with any other percentiles than the default. Please help. I want then at 5% and 95% and 10% and 90%.

Regards,