From: nmorin@weber.ucsd.edu (Norman Morin)
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Problem with Nonlinear Equation System
Date: Sun, 31 Mar 1996 11:19:34 -0800
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-listname: <RATS-L@efs1.efs.mq.edu.au>
Mime-Version: 1.0
Content-Type: text/plain; charset="us-ascii"
X-Mailer: Mercury MTS v1.21
At 2:14 AM 3/31/96, Sukudhew Singh <singhs@ctrvax.Vanderbilt.Edu> wrote:
>* free parameters
>NONLIN A0 A1 A2 A3 A4 B0 B1 B2 B3 L
>
>* equations
>FRML DD Q = A0 + A1*P + A2*Y + A3*P*Z + A4*Z
>FRML SS P = L*((-1*Q)/(A1 + A3*Z))+B0 + B1*Q + B2*W1 + B3*W2
>
>* initial values
>COMPUTE A0=A1=A2=A3=A4=0.0
>COMPUTE B0=B1=B2=B3=L=0.0
I think by initializing all your free parameters to zero might be the
cause of your program crashing, since
L*((-1*Q)/(A1 + A3*Z))
will then be the ratio of 0 and 0.
That's from a quick look, though; I haven't tried executing your code.
--Norm
Norman J. Morin
nmorin@weber.ucsd.edu
-------------------------------------------------------------
Department of Economics * University of California, San Diego
9500 Gilman Drive * La Jolla, CA 92023-0508
-------------------------------------------------------------
---------- End of message ----------
From: nmorin@weber.ucsd.edu (Norman Morin)
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: FEVD IN SVARs
Date: Sun, 31 Mar 1996 16:11:00 -0800
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-listname: <RATS-L@efs1.efs.mq.edu.au>
Mime-Version: 1.0
Content-Type: text/plain; charset="us-ascii"
X-Mailer: Mercury MTS v1.21
At 9:39 AM 3/28/96, F.Y.Kumah wrote:
>Hello and G'day,
>
>Can someone out there give me a handy program for
>estimating the forecast error variance decompositions
>(and thier standard errors) for Structural VARs?
>
I have written a procedure that does this. It is quite large,
though, as it is a "menu-driven" procedure which does about a dozen
different VAR related things. Some of the code in it (e.g., that
Bernanke.src procedure) is from other users' procedures, so it isn't
100% my own work, thus I am unsure about distribution.
Anyway, if it's ok, I'd be happy to send it to you (it's about 88K).
Does anyone have an answer for what is the proper etiquette about
this sort of thing? I've written dozens of procedures to do various
time series work, but since many contain bits and pieces of code from
procedures from RATS or from other RATS users, I've been hesitant to
share most of them, fearing some breach of "fair use". I'd be happy to
upload them, if I knew it were not improper to do so.
For example, inside the old public domain CATS for RATS 3.0(?) program,
there's a nice little procedure to quickly build a larger matrix by
adding rows or columns to a given matrix. I've used that procedure in
a few of my own procedures which needed that sort of operation. But now
(and especially since CATS is now commercialware), I am unsure about giving
anyone a procedure I wrote containing that chunk of code. I'm happy to
share anything I've written, but I don't feel like rewriting some
code in a bunch of different procedures to do so.
Thanks,
--Norm
Norman J. Morin
nmorin@weber.ucsd.edu
-------------------------------------------------------------
Department of Economics * University of California, San Diego
9500 Gilman Drive * La Jolla, CA 92023-0508
-------------------------------------------------------------
---------- End of message ----------
From: "F.Y.Kumah" <F.Kumah@kub.nl>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Problem with Nonlinear Equation System
Date: Mon, 1 Apr 1996 11:01:59 MET
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-listname: <RATS-L@efs1.efs.mq.edu.au>
Organization: Tilburg University
X-mailer: Pegasus Mail for Windows (v2.23) (via Mercury MTS v1.21)
Dear Norman,
I think you are damn correct. In fact I estimated some coefficients
of an SVAR using MAXIMIZE and the error reported by Sukudhew keep
coming up precisely because the initial values were zeros.
So over to you Suk. just try other starting values and hopefully your
problem will be over.
> At 2:14 AM 3/31/96, Sukudhew Singh <singhs@ctrvax.Vanderbilt.Edu> wrote:
>
> >* free parameters
> >NONLIN A0 A1 A2 A3 A4 B0 B1 B2 B3 L
> >
> >* equations
> >FRML DD Q = A0 + A1*P + A2*Y + A3*P*Z + A4*Z
> >FRML SS P = L*((-1*Q)/(A1 + A3*Z))+B0 + B1*Q + B2*W1 + B3*W2
> >
> >* initial values
> >COMPUTE A0=A1=A2=A3=A4=0.0
> >COMPUTE B0=B1=B2=B3=L=0.0
>
>
> I think by initializing all your free parameters to zero might be the
> cause of your program crashing, since
> L*((-1*Q)/(A1 + A3*Z))
> will then be the ratio of 0 and 0.
>
> That's from a quick look, though; I haven't tried executing your code.
>
> --Norm
>
> Norman J. Morin
> nmorin@weber.ucsd.edu
> -------------------------------------------------------------
> Department of Economics * University of California, San Diego
> 9500 Gilman Drive * La Jolla, CA 92023-0508
> -------------------------------------------------------------
>
>
>
>
---------- End of message ----------
From: Sukudhew Singh <singhs@ctrvax.Vanderbilt.Edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: SOLVED: Problem with Nonlinear Equation System
Date: Mon, 01 Apr 1996 04:06:12 -0600
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-listname: <RATS-L@efs1.efs.mq.edu.au>
MIME-version: 1.0
X-Mailer: Windows Eudora Light Version 1.5.4b13 (32) (via Mercury MTS v1.21)
Content-type: text/plain; charset="us-ascii"
Content-transfer-encoding: 7BIT
At 11:19 AM 3/31/96 -0800, Norman J. Morin <nmorin@weber.ucsd.edu> wrote:
>
>I think by initializing all your free parameters to zero might be the
>cause of your program crashing, since
> L*((-1*Q)/(A1 + A3*Z))
>will then be the ratio of 0 and 0.
>
>That's from a quick look, though; I haven't tried executing your code.
>
>--Norm
>
You are exactly right Norman. Specifying non-zero initial values made the
difference
and the program works just fine now. My ordeal has ended. Many thanks for
your insightful suggestion.
Warmest regards,
Sukhdave
---------- End of message ----------
From: Ranjini Sivakumar <rsivakum@gpu.srv.ualberta.ca>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: FEVD IN SVARs
Date: Mon, 1 Apr 1996 19:12:23 -0700 (MST)
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-listname: <RATS-L@efs1.efs.mq.edu.au>
X-Mailer: ELM [version 2.4 PL23alpha2] (via Mercury MTS v1.21)
MIME-Version: 1.0
Content-Type: text/plain; charset=US-ASCII
Content-Transfer-Encoding: 7bit
Hello,
Is there a way to incorporate inequality constraints with NLIN?
Thanks,
Ranjini
---------- End of message ----------
From: Tim Ng <NGT@rbnz.govt.nz>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Vacation Mail for Tim Ng <NGT@rbnz.govt.nz> -Reply
Date: Wed, 03 Apr 1996 09:14:51 +1200
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-listname: <RATS-L@efs1.efs.mq.edu.au>
X-Mailer: Novell GroupWise 4.1 (via Mercury MTS v1.21)
To all those users whose mailboxes I clogged up over the past week:
please accept my sincere apology.
Tim Ng
---------- End of message ----------
From: "Maureen Lage" <MLAGE@sba-laws.sba.muohio.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Structural VARs
Date: Wed, 3 Apr 1996 14:22:25 EST
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-listname: <RATS-L@efs1.efs.mq.edu.au>
Organization: Miami University School of Business
X-mailer: Pegasus Mail/Windows (v1.20) (via Mercury MTS v1.21)
Does anyone know where I could get a copy of Professor Giannini's
monograph on "Structural VAR Models"?
Thanks in advance.
Maureen Lage
Miami University
---------- End of message ----------
From: "Ulrich Leuchtmann" <ULEUCHTMANN@discordia.wiwi.uni-bielefeld.de>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Structural VARs
Date: Thu, 4 Apr 1996 17:58:34 GMT+0100
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-listname: <RATS-L@efs1.efs.mq.edu.au>
Organization: Fak. WIWI Uni Bielefeld
X-Mailer: Pegasus Mail for Windows (v2.01) (via Mercury MTS v1.21)
Hi Maureen,
> Does anyone know where I could get a copy of Professor Giannini's
> monograph on "Structural VAR Models"?
The book is:
Carlo Giannini, "Topics in Structural VAR Econometrics." Springer
Verlag: New York, Berlin, Heidelberg. 1992. ISBN 0-387-55262-6.
Ulrich
=============================================================
Ulrich Leuchtmann
University of Bielefeld German Statistical Society
Faculty of Economics Secretariat
P.O.Box 10 01 31 Tel.: (+49)(0) 521-106-4870
33501 Bielefeld Fax: (+49)(0) 521-106-2994
Germany email: ULeucht@wiwi.uni-bielefeld.de
=============================================================
---------- End of message ----------
From: "Maureen Lage" <MLAGE@sba-laws.sba.muohio.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Structural VARS
Date: Mon, 8 Apr 1996 14:21:37 EST
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-listname: <RATS-L@efs1.efs.mq.edu.au>
Organization: Miami University School of Business
X-mailer: Pegasus Mail/Windows (v1.20) (via Mercury MTS v1.21)
Thanks to those of you who replied to my request for information
about Giannini's book on Structural VARS. While I wait for my copy,
perhaps I can ask you one more question about them.
It seems when working through his program that everthing hinges on
the initial values for GAMMA given in the START vector. Does anyone
know of any general "rule of thumb" to use here?
Thanks again.
Maureen Lage
Miami University
---------- End of message ----------
From: nmorin@weber.ucsd.edu (Norman Morin)
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Structural VARS
Date: Mon, 8 Apr 1996 14:50:21 -0700
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-listname: <RATS-L@efs1.efs.mq.edu.au>
Mime-Version: 1.0
Content-Type: text/plain; charset="us-ascii"
X-Mailer: Mercury MTS v1.21
At 2:21 PM 4/8/96, Maureen Lage wrote:
>It seems when working through his program that everthing hinges on
>the initial values for GAMMA given in the START vector. Does anyone
>know of any general "rule of thumb" to use here?
I don't know how kosher it is, here's what I do, and it generally
seems to work (and I've tried it with simulated series, in which
I know the "right" answer):
Say it's a four variable VAR, x(1), x(2), x(3), x(4) with reduced
form residuals r(1), r(2), r(3), r(4). And I think the 'pattern
matrix' is
1 0 0 0
1 1 0 0
1 0 1 0
1 1 0 1
Then for my starup values, I'll just regress r(2) on r(1)
to get an initial guess for the first nondiagonal entry,
r(3) on r(1) for the second, and r(4) on r(1) and r(2)
for the third and forth. Now, again, I haven't seen
this done in papers and am not sure how many Time Series
Commandments I am violating, but it seems to allow Bernanke-Sims
or the SVAR program to converge quickly and produce values that
make sense (with real data) and produce values quite close to
the actual values when using a simulated multivariate VAR process.
Your mileage my vary.
--Norm
Norman J. Morin
nmorin@weber.ucsd.edu
-------------------------------------------------------------
Department of Economics * University of California, San Diego
9500 Gilman Drive * La Jolla, CA 92023-0508
-------------------------------------------------------------
---------- End of message ----------
From: Rob Trevor <robt@efs.mq.edu.au>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Absence
Date: Thu, 11 Apr 1996 18:20:22 +1000
Errors-To: <rats-l-owner@efs.mq.edu.au>
Reply-To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-Listname: <RATS-L@efs1.efs.mq.edu.au>
Mime-Version: 1.0
Content-Type: text/plain; charset="us-ascii"
X-Mailer: Mercury MTS v1.21
Dear RATS-L Member
I will be away until May 13. Since my email access during this period will
be extremely limited, please address any *list* related problems to David
Rawling <David.Rawling@efs.mq.edu.au> - BUT please don't ask David any RATS
questions!
Cheers
Rob Trevor
RATS-L-OWNER@efs.mq.edu.au
---------- End of message ----------
From: "Muhammad Alam" <malam@cbafaculty.unomaha.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: VARIANCE RATIO TEST
Date: Thu, 18 Apr 1996 14:19:27 CST
Errors-To: <rats-l-owner@efs.mq.edu.au>
Reply-To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-Listname: <RATS-L@efs1.efs.mq.edu.au>
Organization: UNO, College of Business
X-Mailer: Pegasus Mail for Windows (v2.23) (via Mercury MTS v1.21)
Is there a RATS procedure for the VARIANCE RATIO TEST?
I would really appreciate if someone could give me some info about
this.
Thanks,
M. Alam
[e-mail: malam@cbafaculty.unomaha.edu]
---------- End of message ----------
From: CROWLEY PATRICK # ECONOMICS <PCROWLEY@shark.stmarys.ca>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Multivariate Linear Rank Tests
Date: Thu, 18 Apr 1996 22:05:50 +0000 (ADT4AST)
Errors-To: <rats-l-owner@efs.mq.edu.au>
Reply-To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-Listname: <RATS-L@efs1.efs.mq.edu.au>
Organization: Saint Mary's University
X-Mailer: Pegasus Mail v3.22 (via Mercury MTS v1.21)
Content-Transfer-Encoding: 7BIT
Dear Everyone on the RATS discussion group,
Does anyone know of the existance of a program to do Multivariate
Linear Rank Tests (not Rank of a matrix, but Rank order statistics)?
If not, I will develop one, but I was just interested if anyone out
there has already written one.
Regards,
Patrick Crowley.
=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-
Patrick Crowley, email: pcrowley@SHARK.stmarys.ca
Department of Economics, Tel: (902) 420-5675
Saint Mary's University, Fax: (902) 492-8758
Halifax, Home: (902) 4928673
Nova Scotia, B3H 3C3, CANADA.
-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=-=
---------- End of message ----------
From: "HERBERT STOCKER" <Herbert.Stocker@uibk.ac.at>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Principal Components Analysis
Date: Mon, 22 Apr 1996 12:41:58 +0100
Errors-To: <rats-l-owner@efs.mq.edu.au>
Reply-To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-Listname: <RATS-L@efs1.efs.mq.edu.au>
Organization: University of Innsbruck, Austria
Mime-Version: 1.0
Content-Type: text/plain; charset=US-ASCII
Content-Transfer-Encoding: 7BIT
X-Mailer: Pegasus Mail v3.22 (via Mercury MTS v1.21)
Estima offers a simple procedure for extracting principal components
from a set of series on it's Web-site.
However, this procedure seems to have some bugs. Is there someone who
has a better procedure for this purpose?
Thanx in advance!
Herbert Stocker
---------- End of message ----------
From: branchr@bc.edu
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Impulse Responce Functions
Date: Tue, 23 Apr 1996 17:49:13 +0000
Errors-To: <rats-l-owner@efs.mq.edu.au>
Reply-To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-Listname: <RATS-L@efs1.efs.mq.edu.au>
Mime-Version: 1.0
Content-Type: TEXT/PLAIN; CHARSET=US-ASCII
X-Mailer: Mercury MTS v1.21
Hi allÉ
I was wondering if it is possible to save the output from the IMPULSE
command to
an external file, so I can graph it in another package. I am currently using
Rats 4.20 on a VAX/VMS system. Any help would be greatly appreciated.
Richard Branch
Boston College
P.S. Actually this problem arose because I can't seem to figure out how to
graph
impulse responce functions in RATS. I tried what the manual suggests, but
alasÉit doesn't seem to work to well!
---------- End of message ----------
From: "Estima" <estima@estima.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Impulse Responce Functions
Date: Wed, 24 Apr 1996 13:01:47 +0000
Errors-To: <rats-l-owner@efs.mq.edu.au>
Reply-To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-Listname: <RATS-L@efs1.efs.mq.edu.au>
Organization: Estima
X-Mailer: Pegasus Mail for Windows (v2.23) (via Mercury MTS v1.21)
Richard:
Regarding your question:
>
> I was wondering if it is possible to save the output from the IMPULSE
>command to
> an external file, so I can graph it in another package. I am currently using
> Rats 4.20 on a VAX/VMS system. Any help would be greatly appreciated.
>
The IMPULSE command stores the responses in ordinary series, which
you can certainly graph or write to a file. The most common way to
write series to a file is to use the OPEN COPY and COPY
instructions.
>
> P.S. Actually this problem arose because I can't seem to figure out how
>to graph
> impulse responce functions in RATS. I tried what the manual suggests, but
> alasÉit doesn't seem to work to well!
>
Which section of the manual? The IMPULSES.PRG and MONTEVAR.PRG
programs should work fine. These examples are a bit complicated,
because they are designed to prodcue fairly fancy graphs of
responses of all variables to shocks to all variables.
If you're having problems, start with an easier task. Suppose you
define and estimate a 2 eqn VAR. You could save and graph the
responses to a shock to eqn 1 as follows:
SYSTEM 1 2
VARIABLES X Y
LAGS 1 TO 4
DET CONSTANT
END(SYS)
ESTIMATE(OUTSIGMA=V)
IMPULSE 2 16 1 V
# 1 XRESP
# 2 YRESP
GRAPH(KEY=UPRIGHT) 2
# XRESP
# YRESP
Hope this helps.
Tom Maycock
Estima
--
+-----------------------------+-----------------------------------------+
| Estima | |
| P.O. Box 1818 | Voice: (847) 864-8772 |
| Evanston, IL 60204-1818 | Fax: (847) 864-6221 |
| U.S.A | BBS: (847) 864-8816 |
| e-mail: estima@estima.com | CompuServe: 73140,2202 |
|-----------------------------------------------------------------------|
| Web Site: http://homepage.interaccess.com/~estima/ |
| RATS Internet Mailing List: New members can join by sending e-mail to |
| MAISER@EFS.MQ.EDU.AU with the message: SUBSCRIBE RATS-L |
+-----------------------------------------------------------------------+