The RATS Software Forum

Dear Estima, Let's say I estimate a VAR model over the period 1980-2007 and impose restrictions to identify the structural shocks. Now, let's say I want to take the model estimated for the 1980-2007 and use it to do a historical decomposition of the shocks over the period after 2007. That is, I want...

A question on using @condition. Is there a way to read in a preset path for an endogenous variable without using the # cards? That is, say I have preset path of an endogenous variable for 40 periods and each period the value of the endogenous variable is different. Following the example in the User ...

Dear Estima: Let's say I estimate a VAR over period 1960:Q1 to 2007:Q4 and use identifying restrictions to estimate structural shocks over this time. Now I want to take the same estimated model (based on the 1960:Q1 to 2007:Q4 period) and identifying restrictions and use it to identify structural sh...

Estima: Would like to put a request in for a RATs coding of a paper: "Measuring the Natural Rate of Interest" by Laubach and Williams (2003). This paper uses a Kalman Filter to estimate the unobserved natural rate of interest. Here is the link to the paper: http://www.federalreserve.gov/pu...

All:

Are there any examples of using the Shortandlong.src with the Montevar.src so as to create confidence bands for IRFs based on both LR and SR restrictions? Thanks.

Here is a paper that effectively imposes something like a BQ long-run restriction by imposing sign restrictions such that the sign restriction on a shock is set close to 0 at a long-horizon. How would one modify the Uhlig example code to do this? Thanks in advance. http://www.crei.cat/activities/cre...

After thinking this through, here is what I should have said in the previous post. I want to estimate a SVECM using BQ long-run restrictions using the short and long-run restrictions code you provide. It seems, then, I that I use CATS to get the cointegrated vector(s) and then bring them into RATS a...

Dear Estima:

I am trying to find an example of someone imposing indentifying restrictions on the cointegrating vector(s) using CATs and then bringing the VECM model into RATS to estimate it. Any suggestions? Thanks.

I am creating a two-sale line graph and on one of the axis I need to reverse the scale so that lower numbers are one top and the higher numbers on the bottom. Any suggestions. Thanks.

Tom,

I followed the ShortandLong example with VECM. Is there an example for the shortandlong where standard error bands are generated? Thanks.

Thanks. Can you direct me to a resource that explains why this is so. My models have 6-8 variables, but the issue I assume still applies.

All,

Are there any examples of a VECM that uses Blanchard-Quah long-run restrictions and calculates error bands for the impulse response functions? Thanks.

Thanks Tom. Two follow-up questions. First, In the first link it is noted that with two cointegrating vectors this model would be easier to analyze in CATS. Does mean imposing the Blanchard-Quah restrictions(or other structural restrictions) is also done in CATS? Second, is it possible that any tens...

All:

Can you point me to any examples where a VECM is estimated with long-run BQ restrictions? Thanks.

All,

Are there any examples of doing near-VARs like that in the MonteSUR within the framework of a VECM? Thanks.