The RATS Software Forum

Dear Tom, Following your earlier discussion on this topic, may I ask: 1. If I first estimate the co-integreation relations 2. then Insert the co-integration relations in the following way (using the example in the User Guide p.376): system(model=ectmodel) variables ftbs3 ftb12 fcm7 lags 1 to 6 ect e...

Dear Tom,

Thank you so much. So if I run a VAR in level instead of a VECM, and restrict the impulse response analysis to with 5 years, then there shouldn't be many problem (even if the VAR is estimated with quarterly data)?

MC

Dear Tom and everyone, I have a question about impulse responses analysis. In the presence of unit roots and cointegration, Phillips (1998) "Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's", shows that impulse responses of a VAR in level in the long horizons...

Dear Tom,

Do you know how to modify your replication codes for the paper Mountford and Uhlig (2009) such that the size of the basic government spending and revenue shocks are normalised to 1% in the initial period?

Thank you so much!

MC

Hi Tom,

Yes, I tried...but when I use the option export=ecm/var, how can I define a name for this model at the same time? This is very important as I would like to estimate several SVECMs within the same programme file. Similarly, how can we export the residuals of each SVECM?

Thanks!

MC

Hi Tom, I am trying to draw bootstrapped error bands for a SVECM, following the example of bootvar.prg. May I ask how can we declare a model name for a VECM which is estimated by CATS, apart from using the Misc option available on the menu? For example, in a VAR, We can do this with the following sy...

Hi Tom,

Thanks for your information! I have changed the code accordingly and it works now... Another question is: are you aware of any sample code or method that can draw error bands for SVECM?

Many thanks!

MC

Hi Tom,

A message propped up when I tried to run the code:

## MAT5. Needed Matrix with Dimensions 26 x 26, Got 5 x 5 Instead

I have attached my code for your reference.

May I also ask how to draw error bands for the impulse response?

Thank you so much!

MC

Hi, I would like to estimate a SVECM as well...I am thinking of estimating a cointegrated model first using the command @cats, then do a structural decomposition using @cvmodel. But it seems my code is not working....may I ask what's wrong with the following code? ***********************************...

Hi, I would like to ask a quick question about partial system....where some weakly exogenous variables entered the cointegration relation as well as entering as lags in the equation of endogenous variables. May I ask, does the same analysis still apply if the variables are now strongly exogenous rat...

Hi, The formula corresponds to the present value multiplier. The (2-1) indicate that it is the second policy experiment, which is the deficit financed tax cut.... The (1-1) indicate that is the first policy experiment, which is the deficit financed expenditure increase. Please let me know if you fin...

Hi, Here is my adaptation to the latest version of Mountford and Uhlig code. You need to change some of the input, like the the source programme for the VAR, the variables restricted etc......the numbers in the calculation of multipliers are the sample ratio of fiscal variables and GDP. Hope it help...

Hi all, I have a question with regard to drawing the error bands of impulse responses. After estimation by ordinary least square, many papers used monte carlo simulation with several hundred replications to draw the 1 standard deviation error bands. I would like to ask whether there is any conceptua...

Hi Tom, I tried to alter the montesur.prg to take into account of alternative factorization, and incorporated the resulting changes into the format of MCVARDoDraws.src and MCgraphirf.src. Everything seems fine but the error band given by the option center=input, impulses = impulses, and the option s...

Hi Tom,

With the standard A*u_t = B*e_t and E(e_t*e_t') = D; D diagonal,

after estimating this model by the command cvmodel, how can we access the elements of the matrix D?

Many thanks!

MC