The RATS Software Forum

Thanks for your code. However, I have a question that why simplex algorithm is needed to be performed after genetic algorithm? I am curious that why the genetic algorithm cannot be used alone for obtaining the minimum point since genetic algorithm itself is the optimization tool like simplex algorit...

Thanks for TomDoan's reply. Now my question is, why PI is needed to found? As I understand, forcedfactor.src is used to find out the decomposition factor F of sigma given that first r columns of F is A: (n x r), as the code requires. However, the code intends to find out F given the first columns of...

Hi all, I used forcedfactor.src in WINRATS to get the decomposition factor of covariance matrix recently. I would like to know how the code is written based on theory. I looked at the code by myself but I do not have much idea why and how the code is written like this and SVD decomposition is involv...

I would like to implement a code to check whether the VAR is stationary or not. Given the VAR, A(L)y_t = e_t If the VAR is stationary, then det(A(z)) = 0 has all roots that lie outside unit circle. However, if one of the roots lies inside the unit circel, then the VAR is said to be non-stationary. I...

Here's the code that I modified from this post. I also downloaded Forcefactor.src and installed it in WINRAT in order to run the program file. * * Replication File for Uhlig (2005), "What are the effects of monetary policy on output? * Results from an agnostic identification procedure." Jo...

If I choose not to transform VECM into VAR, how can I set the Jeffreys Prior for VECM given the cointegrating vector has to be estimated ? The Jeffreys Prior can be set easily for VECM by using the commands introduced in P.497-498 in User Guide if the cointegrating vector is fixed. In this case, xx ...

As I understand from footnote 10, it is regarding to the shocks recuperated from LONG-run restrictions, eps_head_1 to eps_head_3. That means we impose the pattern matrix of long-run multiplier to be lower triangular, based on my understanding of footnote 10. To recuperate eps_2, as Beaudry & Por...

Here is my situation: I tried to replicate Beaudry and Portier (2006), "Stock Prices, News and Economic Flucutations". For two-variable case, I have no problem by imposing Cholesky Decomposition for short-run restriction and Blanchard-Quah Decomposition for long-run restriction. However, f...

"you can use one or the other for defining a factorization, but not both."

I am not quite sure what the above statement clearly. Could you give some specific example how to use one or the other for defining a factorization.

Sorry about that...

compute alphaperp=%perp(%vecmalpha) compute betaperp =%perp(beta) compute masums=betaperp*inv(tr(alphaperp)*%varlagsums*betaperp)*tr(alphaperp) I have tried to use the above command to get the long-run multiplier for just-identified VECM. However, when I attempt to solve for the decomposition factor...

Thanks, Tom... I understand. At the same time, I would like to know why vec(B) = perp(R)*theta and why theta = inv(tr(perp(R))*perp(R))*tr(perp(R))*vec(B)? I guess how theta = inv(tr(perp(R))*perp(R))*tr(perp(R))*vec(B) is evolved can be related to ordinary least square method that we could get beta...

Thanks, Tom.... Furthermore, I also have one question about this procedure. I would like to know how the matrix "R" is compute and how R*vec(B) = 0 is evolved. In User's Guide, R*vec(B) = 0 is mentioned but there is no theoretical explanation about that. Is there any technical reference th...

In RATS User's Guide, Jeffreys Prior is introduced for VAR (P.493) for computation of Impulse Response. However, how can I set up the Jeffreys Prior for VECM? For me, I first transformed the VECM to VAR, and then set up the Jeffreys Prior for the transformed VAR. Is it appropriate to do that? If not...

In RATS, the procedure @shortandlong is used to evaluate the impact factor matrix based on short-run and long-run restrictions of Structural VAR. I would like to know that whether it can be also used to evaluate the impact factor matrix based on Structural VECM (error-correction model).

I have a question about the calculation of long-run matrix of Structural VECM. In RATS, it is easy to get the long-run matrix by using %VARLAGSUMS or %MODELLAGSUMS during the estimation of Structural VAR. However, if structural VECM is being estimated, only %VARLAGSUMS can be used. I have two questi...