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MCGRAPHIRF—graphing end for error bands for IRF's
Posted: Wed Mar 23, 2011 5:29 pm
by TomDoan
@MCGRAPHIRF organizes graphs for the output from various procedures which draw impulse response functions.
Detailed description
Among examples which use this are:
- BOOTVAR.RPF (boot strapping a VAR)
- MONTEEXOGVAR.RPF (Monte Carlo integration for a shock to an exogenous variable)
- MONTESUR.RPF (Gibbs sampling for a near-VAR)
- MONTESVAR.RPF (Gibbs sampling for an overidentified SVAR)
- MONTEVAR.RPF (standard Monte Carlo integration for an OLS VAR)
By separating the tasks of generating the impulse responses (done by a variety of methods) and organizing the graphs (done by @MCGRAPHIRF), we can provide greater flexibility in the graphics.
If you want the calculations of the confidence bands
without the graphs, use
@MCPROCESSIRF.
Re: MCGRAPHIRF (graphing end for IRF's)
Posted: Mon Apr 20, 2015 2:37 pm
by PTillmann-436
Hi Tom,
How can I get the median responses out of the mcgraphirf procedure in order to ACCUMULATE them?
Thank you so much.
Re: MCGRAPHIRF (graphing end for IRF's)
Posted: Mon Jul 13, 2015 8:23 pm
by TomDoan
Use
@MCPROCESSIRF for that. However, you really want to accumulate
before computing medians—medians don't have any linearity properties.
MCGRAPHIRF (graphing end for IRF's)
Posted: Mon Apr 18, 2016 6:34 pm
by zw83189
Hello Tom,
I am using RATS version 9.0 and used @mcgraphirf to generate impulse response. On my y-axis (dependent variable axis) the scale is showing 7 decimal places already. However these numbers are all zero so I would like to increase the number of decimal places. Is there a way to do that?
It might not have much meaning in interpreting such shock, but I just want to get an axis that has significant figure on the scale instead of all zeros.
Many thanks!!!
Re: MCGRAPHIRF—graphing end for error bands for IRF's
Posted: Sun Apr 24, 2016 9:47 am
by TomDoan
@MCGRAPHIRF doesn't have an option for changing the representation of the numbers on the axis. You can always use @MCPROCESSIRF to process the information and do the graphs differently. Are you doing some type of restricted model? In a regular VAR, the responses should never be true zero past the impact.
Re: MCGRAPHIRF—graphing end for error bands for IRF's
Posted: Mon Apr 25, 2016 12:21 am
by zw83189
I used a VARX model and shock the exogenous variables and examine the response of endogenous variables. In this case, it is normal to have zero response value after shock?
Re: MCGRAPHIRF—graphing end for error bands for IRF's
Posted: Mon Jan 06, 2025 3:55 pm
by TomDoan
If the exogenous variable hits all the endogenous variables, no (as long as the lags are non-zero).