The RATS Software Forum

Thanks so much, Dear Tom. I appreciate it, Fernando.

Hi Everyone, Just a quick question. I am trying to estimate a Bayesian VAR (BVAR) through the option in the Menu Bar (Time Series-VAR(Setup/Estimate)). But after estimating it, I was wondering if the MCVARDODRAWS Procedure can help to estimate the IRF´s of that BVAR or not? And just to clarify...tha...

Hi Everyone,

Does anyone know if there is a command to check autocrrolation in the residuals of a SVAR with Block Exogeneity?

Thanks so much,

Fernando

How does a tight Bayesian Prior to estimate the standar errors relate to the number of variables in a SVAR?

Hi Everyone, I am using the code of Cushman David and Zha (1997). And I use a similar number of endogenous number of variables (7 domestic-3 foreing) but only 1-2 lags. In my dataste I have 240 observations. My question is, given that I am using approximately 10-11 endogenous variables; Should I con...

Thanks so much Dear Tom,

I really appreciate it,

Very nice,

Luis

Roots of reverse characteristic polynomial.

Hi Everyone,

Does someboy know if there is a test that we can use to prove that the SVAR (like the one of Cushman and Zha (1997)) with a exogenous block is stable?

Thanks,

Luis

Dear Tom, After some time I realized that the problem was that in my data interest rates were in units, that is 20% equal to 20. I solved all my problems putting 20% equal to 0.2. In the replication code I saw that they used my first scale option. That SOLVED alll my previous problems, Thanks so muc...

Hi Tom, I am trying to replicate the Cushman and Zha (1997) for the Mexican case. However it is the case that the bands are very broad. Scale is huge(millions). My variables are in log levels except the interest rates. Attaches you will see the IRF of employment to a monetary shock. Any ideas about ...

Hi everyone, I was wondering if you may know about one code for a Small Open Economy Model in which I can impose restrictions on the impact matrix but also in [the lags matrices.] I am not interested in imposing sign restrictions. And I would like to estimate a SOE Model using a block SVAR Model in ...

Hi Everyone, I am trying to estimate a Block Exogeneity SVAR similar to Cushman and Zha (1997). But my model is a little different. I am using 10 variables. 7 of them are for Mexico (inside) and 3 for the USA (outside). Frequency data is monthly and seasonally adjusted (I do not include seasonal dum...

Thank you so much Dear Tom. I really appreciate it. You are so nice!

Hi Everyone: I am replicating the Cushman and Zha (1997) model but for the Mexican case. Before writing this question I tried to find the answer but it has not been possible to me finding it. I think the question is very simple. And it is regarding the syntax of one line of the code, which is this o...

Thanks so much for you very quick response. I really really appreciate your very kind help and support Dear Tom.

Your comment was very helpful, I solved the issue.

I apologize for the delay to reply.

My best wishes,

Fernando