impulse response

[atarca]

Hi,

Is it possible to use the EXPORT option of @CATS in order to obtain the impulse-response graphs by the below procedures?

@mcvardodraws(model=CatsModel)
@mcgraphirf(model=CatsModel,page=one,varlabels=vlabels,shocklabels=vlabels, center=median,percent=||.025,.975||)

Or is there any other way to obtain them with bands?

Tarkan

[TomDoan]

CATS just does point estimates. One problem with doing Monte Carlo integration with cointegrated models is that the "beta" has a non-standard conditional distribution. If you're willing to take beta as given the remainder of the parameters can be handled using standard techniques---see the MONTEVECM.RPF example. Making beta also unknown requires Gibbs sampling.

[atarca]

CATS just does point estimates. One problem with doing Monte Carlo integration with cointegrated models is that the "beta" has a non-standard conditional distribution. If you're willing to take beta as given the remainder of the parameters can be handled using standard techniques---see the MONTEVECM.RPF example. Making beta also unknown requires Gibbs sampling.

Thank you very much for your explanations, Tom.
Cheers
Tarkan