The RATS Software Forum

Hi Panel VAR's are mainly panel data techniques, more than VAR techniques (which is why I moved the topic). If everything about the model is homogeneous (same coefficients, same variance), you can basically treat it like a standard VAR. If I allow for different intercepts across countries (cross-sec...

Dear Tom, I have read a message you posted about EM and ML estimation under the topic ‘Filardo JBES 1994 Time-Varying MS Model’. I have used ML for estimating a time-varying transition probabilities Markov-switching model as it is implemented in existing literature. What would be the difference betw...

Dear Tom, I have used the above code with uhligdata.xls to calculate the historical decomposition. I am wondering what the appropriate way in interpreting the value on the y-axis is. In particular, would it be correct to say that it shows contributions of shocks measured as percentage points to devi...

Dear Tom, I have estimated the time-varying transition probabilities Markov-switching model. I find that, in the transition probability matrix, the constant term (B10 or B20) is big, comparing to the estimate of the coefficient of the variable in the transition probability matrix (B11 or B21). Is th...

Dear Tom, I have used the following codes with the data set (Jan 1995 – Nov 2008). Impulse responses acquired are unusual. Please see pdf attached. When I use longer data set (Feb 1989 – Nov 2008), results are fine. I am wondering whether this is because the data set is too short. Could you please g...

Dear Tom, Thank you very much for your reply. I understand that that is what literature does (to include a discrete intercept dummy variable). However, would it be possible to also have a change in the lag coefficients? I am sorry for not answering the question about what I want the dummy to do. Ess...

Dear Tom, Thank you very much for your reply. I would like to include dummy variable (exogenous control) for the period of the Asian crisis in the VAR model using sign restrictions. The dummy variable takes a value of 1 for that period of Asian financial crisis (Oct 97 – Sep 98) and 0 otherwise. In ...

Dear Tom, I would like to add dummy variables for the period of the Asian crisis, from Oct 97 to Sep 98. With the series ‘DUMMY’ that is 0 during such period, OPEN DATA Zero_Crisis_Dummy_All_4_South_Korea.xls CALENDAR 1989 2 12 compute missc=1.0e+32 data(format=xlS,org=columns) 1989:2 2008:11 CPI Y ...

Dear Tom,

It is my mistake.

I have run my program again and, as you said, it gives perfectly reasonable-looking bands.

I am sorry for this.

Thank you very much for all your help and suggestions. I really appreciate your kindness.

Sincerely,

Tim

Dear Tom, I am asking this because I see literature normalizing the impulse response to increase the variable by one and also showing probability bands corresponding to such normalized responses. Nevertheless, it is fine if we would not have scaled bounds following scaled impulse responses. I would ...

Dear Tom, Thank you very much for your help. I really appreciate your help. I have changed the following code compute ik=%xt(impulses,k)*v1 to compute ik=%xt(impulses,k)*inv(p)*i1 and changed the following code ewise goodresp(accept)(i,j)=(ik=%xt(impulses,i)*v1),ik(j) to ewise goodresp(accept)(i,j)=...

Dear Tom, I am sorry to ask you again. I have added the following code declare vector i1 i2 and compute i1=i1/i1(3) However, the impulse response acquired does not show that the 3rd variable is hit by the 1st shock with size one. In particular, the impulse response acquired is not different from one...

Dear Tom, Thank you very much for your reply. I am sorry to ask you again. Under the following line in the original code compute i1=p*v1 I have added the following code (for the 1st shock to hit the 3rd variable with size one) compute i1=i1/i1(3) I got the following message ## SX20. Expected , Here ...

Dear Tom, Thank you very much for your reply. However, I still have one more question I would like to ask you. Sorry for not making the question clear previously. With the following code, I would like to normalize the third variable (INT) to increase by 1 initially, as the effect of the first shock....

Dear Tom, For an impulse response, I would like to normalize one variable (interest rate) to increase by 1 percentage point initially, as the effect of a contractionary monetary policy shock. Could you please give me suggestions on how to perform such normalization? Thank you very much for your help...