The RATS Software Forum

How can I implement this if I have a VECM for which the constant is included in the cointegrating vector (determ=rc)? Can I simply ignore the "deterministic part" of the CI vector when computing the sum of moving average coefficients like above (and as defined by equation (3.1.7) in the ne...

Due to my lack of knowledge about any special RATS functions, I wrote the following function that can be used to compute the relevant input for @shortandlong for a VECM if one needs to use this inside an MC loop. function %vecmlagsums model nlags nects beta type rec %vecmlagsums type model model typ...

I would like to follow up on this question in the context of simulating error bands for IRFs for VECMs. RATS tells me that I cannot use %MODELLAGSUMS(model) to obtain the lag sums (of the lagged differences) of a VECM. But I can also not simply use %varlagsums inside an MC loop (like for instance in...

I am using RATS 8.3.

Isn't it in that version that %varlagsums is computed in such a way that provides the relevant matrix for a VECM?

I followed the example at the beginning of this thread which computes masums as described, for instance, also in Chapter 10 of the new book by Kilian and Lütkepohl. But probably I overlooked something. Is there an issue with restrictions on the cointegration vector? I am attaching my data set and th...

Dear RATS users, I would like to share with you a procedure that implements the test for a distributional change in a time series proposed in Inoue, A. (2001), Testing fo Distributional Change in Time Series, Econometric Theory, 17, 156-187. Feel free to inform me about any bugs that you find. Best,...

Dear Tom, I estimated a VECM and imposed the following restrictions: input lr . 0 0 . . 0 . . . input sr . . . . . . . . . Since the second and the third variable are cointegrated, the implied impact and long-run responses are given by Impact Responses 0.503 -0.468 0.135 0.498 0.646 0.427 -0.137 -0....

Dear April, this is only needed when plotting results. It is a little procedure I wrote to determine the appropriate number of columns and rows in the plot. I wasn't aware that I did not post it. Here it is: PROCEDURE SETHFIANDVFI * option integer number option integer *hfi option integer *vfi * if ...

Ok. Thanks for clarifying this, Tom. What I still do not completely understand is at which point/for which calculations the BAIPERRON procedure does take HAC errors into account (as you mentioned in one of the previous posts). It seems not to be able to activate the robust option in the BPBreakRange...

Oh, I meant using the approach from ONEBREAK.RPF to adapt the BAIPERRON procedure to fully base the test on HAC standard errors. (What I am actually interested in is to obtain test statistics which are robust to autocorrelation; heteroskedasticity is no issue in my application.)

Hi Tom: I also conducted the regression using the Bai-Perron procedure and found that there are breaks. However, I would like to correct for heteroscedasticity and autocorrelation. Perhaps I could make a change to the procedure in the linreg statement and add "robust" as an option. The Ba...

Thanks, Tom. I am using RATS 8.3 and did not know that.

I tried to draw some markers into a contour plot using the following code: all 200 comp xgrid = %seqa(-3,.01,601) comp ygrid = %seqa(-3,.01,601) decl rec f(601,601) ewise f(i,j) = 1./((2*%pi)*%det(||1,.9|.9,1||)^.5)*exp(%scalar(-1*tr(||xgrid(i)|ygrid(j)||)*inv(||1,.9|.9,1||)*(||xgrid(i)|ygrid(j)||)/...

Thanks, Tom, for pointing me to the panelty-function example with delayed shocks. I hadn't browsed these as I want to use the "pure sign-restriction approach" and did not find them via a text search. Translating this code worked out well. I am posting my code below as an example for other ...

I am trying to implement code for an SVAR with identification of multiple shocks by a combination of sign-restrictions and zero-restrictions. I am trying to modify the code from the replication files for Mountford and Uhlig (2009). I am struggling with doing this for nshocks>1. I modified the code f...