From: Gustavo Adolfo Hernandez Diaz To: "RATS Discussion List" Subject: Seek Date: Wed, 9 Oct 1996 18:03:25 -0500 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: X-Mailer: Microsoft Exchange Server Internet Mail Connector Version 4.0.837.3 (via Mercury MTS (Bindery) v1.30) MIME-Version: 1.0 Content-Type: text/plain; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable I=B4m working in the estimation of structural VAR, following Sims=B4 or Bernanke=B4s methodology. I want to contact with Giannini, Lazarotti and Seghelini who wrote the procedures SVAR.SRC and VMA.SRC. If this is not posible, I would like to know where I can find a paper or papers in which I can find the description of the methodology in some detail.=20 GUSTAVO HERNANDEZ E-mail: ghernandez@dnp.gov.co ---------- End of message ---------- From: "F.Y.Kumah" To: "RATS Discussion List" Subject: Re: Seek - and Yee shall find Date: Thu, 10 Oct 1996 10:28:14 MET Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Organization: Tilburg University X-mailer: Pegasus Mail for Windows (v2.23) (via Mercury MTS (Bindery) v1.30) Dear Gustavo, I think there are by now rather too many papers on structural VARs. But the main papers/books that you may want to take a look at might include the following: 1. James D. Hamilton(1994), Times Series Analysis, chap. 11 on VARs 2. Chris Sims(1992), "Interpreting Macroeconomic Time Series Facts", European Economic Review, 36, 975-1011. 3. Chris Sims and Tao Zha(1996), "Error Bands for impulse Responses" Fed. Reserve Bank of Atlanta working Paper. 4. Bernanke and Mihov(1995), "Measuring Monetary Policy", NBER working paper # 5145. 5. Clarida, R and Jordi Gali(1995), "Sources of Real Exchange Rate Fluctuations: How important are nominal shocks?", NBER Working paper # 4658. 6. Jordi Gali(1992), "How well does the IS_LM Model fit Post War data", QJE 107(2), 709-738. Plus a lot more written by many of our colleagues on the RATS list - I'm sorry for not beeing able to mention all them. BUT don't forget to see my own paper Francis Y. Kumah(1996), "The Effect of Monetary Policyon Exchange Rates: How to solve the puzzles", CentER Discussion paper # 9670. You can get the pdf and ps versions at my homepage (address below this mail) Bye. I wish you all the best in your research. Francis > I'm working in the estimation of structural VAR, following Sims' or > Bernanke's methodology. > > I want to contact with Giannini, Lazarotti and Seghelini who wrote the > procedures SVAR.SRC and VMA.SRC. If this is not posible, I would like to > know where I can find a paper or papers in which I can find the > description of the methodology in some detail. > > GUSTAVO HERNANDEZ > E-mail: ghernandez@dnp.gov.co > **~~**~~**~~**~~**~~**~~**~~**~~**~~****~~**~~**~~**~~** Francis Y. Kumah CentER for Economic Research P. O. Box 90153 5000 LE Tilburg The Netherlands Phone (+31) 13 - 4668 221 Fax (+31) 13 - 4663 066 My Home Page: http://cwis.kub.nl/~few5/center/phd_stud/kumah/home.HTM **~~**~~**~~**~~**~~**~~**~~**~~**~~****~~**~~**~~**~~** ---------- End of message ---------- From: "L.Saldanha" To: "RATS Discussion List" Subject: Subsamples Date: Thu, 10 Oct 1996 10:50:52 +0100 (BST) Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-Type: TEXT/PLAIN; charset=US-ASCII X-Mailer: Mercury MTS (Bindery) v1.30 Hello, I am doing some work with stock market data and would like to create two subsamples of the market index, comprising a period of high inflation and a period of low/normal(?!) inflation. I also have a series that I can use as a proxy for inflation. I now require a model which will split the sample into these two subsamples and will be grateful for any help from people who have done this or know people who have done this and can help me get in touch with them. Thank You. Liesl Saldanha Research Student ---------- End of message ---------- From: David Aadland To: "RATS Discussion List" Subject: Re: Seek Date: Thu, 10 Oct 1996 09:51:02 -0700 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: X-Mailer: Windows Eudora Light Version 1.5.2 (via Mercury MTS (Bindery) v1.30) Mime-Version: 1.0 Content-Type: text/plain; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable Gustavo, The best place to get information about the SVAR and VMA procedures is the manuscript written by Giannini himself. A rough citation is=20 Giannini, Carlo., Topics in Structural VAR Econometrics, Lectures Notes in Economic and=20 Mathematical Systems #381, Springer-Verlag, 1992.=20 Hope this helps. David Aadland University of Oregon At 06:03 PM 10/9/96 -0500, you wrote: >I=B4m working in the estimation of structural VAR, following Sims=B4 or >Bernanke=B4s methodology. > >I want to contact with Giannini, Lazarotti and Seghelini who wrote the >procedures SVAR.SRC and VMA.SRC. If this is not posible, I would like to >know where I can find a paper or papers in which I can find the >description of the methodology in some detail.=20 > > GUSTAVO HERNANDEZ > E-mail: ghernandez@dnp.gov.co > > ---------- End of message ---------- From: Guillermo Enrique Murcia To: "RATS Discussion List" Subject: Simultaneous-models panel data estimation Date: Mon, 14 Oct 1996 08:14:26 -0500 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: X-Mailer: Microsoft Exchange Server Internet Mail Connector Version 4.0.837.3 (via Mercury MTS (Bindery) v1.30) MIME-Version: 1.0 Content-Type: text/plain; charset="us-ascii" Content-Transfer-Encoding: 7bit I'm estimating a simultaneous-model with panel data structure using RATS, but I've to estimate this model using 2SLS (not only SUR). I'm not sure of using INSTRUMENTS instruction, because when I use INSTRUMENTAL VARIABLE estimation RATS performs 2SLS for each equation but I believe it isn't estimate structural equations of the model. How would I do this with RATS? Guillermo Murcia gmurcia@dnp.gov.co ---------- End of message ---------- From: "Estima" To: "RATS Discussion List" Subject: Re: Simultaneous-models panel data estimation Date: Mon, 14 Oct 1996 14:10:08 -0600 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-type: text/plain; charset=US-ASCII Content-transfer-encoding: 7BIT X-mailer: Pegasus Mail for Windows (v2.31) (via Mercury MTS (Bindery) v1.30) > > I'm estimating a simultaneous-model with panel data structure using > RATS, > but I've to estimate this model using 2SLS (not only SUR). I'm not > sure of > using INSTRUMENTS instruction, because when I use INSTRUMENTAL > VARIABLE estimation RATS performs 2SLS for each equation but I believe > it isn't estimate structural equations of the model. > I think you may be a bit confused about what the INSTRUMENTS option does: When you use the INSTRUMENTS option, RATS does in fact do a full instrumental variables regression (a variant of two-stage least squares), NOT just a first-stage regression. See the technical description on page 5-5 of the manual for details. SUR, with the INSTRUMENTS option, does three-stage least squares (two-stage least squares to get an initial sigma matrix, then the beta matrix is computed). Presumably, then, you want to estimate your data set using SUR with the INSTRUMENTS option. When applying SUR to panel data sets, you usually need to construct the data set so that you have one series (and thus one equation) for each individual, rather than just for each variable. See Chapter 12 for more on this. If I've misunderstood your question, or you need more info, just let me know. Thanks, 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://www.estima.com | | RATS Internet Mailing List: New members can join by sending e-mail to | | MAISER@EFS.MQ.EDU.AU with the message: SUBSCRIBE RATS-L | +-----------------------------------------------------------------------+ ---------- End of message ---------- From: Tham Mun Hon To: "RATS Discussion List" Subject: Trend - Cycle model Date: Tue, 15 Oct 1996 09:11:14 -0700 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Organization: Ministry of trade & Industry X-Mailer: Mozilla 2.02 (Win16; I) (via Mercury MTS (Bindery) v1.30) MIME-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Hi, I'm trying to fit a trend - cycle model using Kalman Filter. Haven't got a clue about doing it in RATS. Can anyone help me out please ? Thanks ! ---------- End of message ---------- From: jantonioblanco@access.ch (Jose' Antonio Blanco) To: "RATS Discussion List" Subject: Markov Switching Model Date: Tue, 15 Oct 1996 22:07:45 +0200 (MET DST) Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Mime-Version: 1.0 Content-Type: text/plain; charset="us-ascii" X-Mailer: Mercury MTS (Bindery) v1.30 Hi, I'm looking for procedures or programs in RATS to estimate and forecast Markov Switching models as described in Hamilton's "Time Series Analysis". Thanks Jose' Antonio Blanco Zurich, Switzerland e-mail: jantonioblanco@access.ch ---------- End of message ---------- From: "Estima" To: "RATS Discussion List" Subject: OECD MEI Data Date: Fri, 18 Oct 1996 13:08:14 -0600 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-type: text/plain; charset=US-ASCII Content-transfer-encoding: 7BIT X-mailer: Pegasus Mail for Windows (v2.31) (via Mercury MTS (Bindery) v1.30) Dear folks: I don't know if any of the the RATS-L member subscribe to the OECD data from us, but if you do, you'll be glad to know that we've started shipping the latest updates. The OECD changed the format in which they deliver the data, so we had to rewrite all of our conversion programs. This work caused a major delay in shipping the updates. If you are an OECD customer and don't receive your data by the end of next week, please let us know. Thanks, 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://www.estima.com | | RATS Internet Mailing List: New members can join by sending e-mail to | | MAISER@EFS.MQ.EDU.AU with the message: SUBSCRIBE RATS-L | +-----------------------------------------------------------------------+ ---------- End of message ---------- From: Rocco Mosconi To: "RATS Discussion List" Subject: Re: Seek -> Gannini's book and MALCOLM Date: Mon, 21 Oct 1996 14:00:39 -0700 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Organization: Politecnico di Milano X-Mailer: Mozilla 3.0 (Win16; I) (via Mercury MTS (Bindery) v1.30) Mime-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: 8bit Gustavo Adolfo Hernandez Diaz wrote: > > I´m working in the estimation of structural VAR, following Sims´ or > Bernanke´s methodology. > I want to contact with Giannini, Lazarotti and Seghelini who wrote the > procedures SVAR.SRC and VMA.SRC. If this is not posible, I would like to > know where I can find a paper or papers in which I can find the > description of the methodology in some detail. I have some news wich may be interesting for "SVAR people", "cointegrators" and "unit rooters". SVAR.SRC and VMA.SRC have been upgraded and debugged, and are now part of a rather complete package for Maximum Likelihood cointegration analysis, named MALCOLM 2.0, of most part of which I am the author. The Structural VAR routines are coherently nested into a menu driven RATS package wich can handle I(0), I(1) and I(2) VARS. Intervention dummies and exogenous variables are allowed for. Linear restrictions may be imposed on the VAR model before Structural VAR analysis is performed (identification of the cointegrating vectors and so on). MALCOLM also includes several univariate unit root tests. And lots more. I am currently writing a manual for MALCOLM, where the theory for cointegration and SVAR is briefly reviewed, and the relevant references are given. I am also planning to start selling Malcolm+manual as soon as possible for a reasonable (still undefined) price. The idea is that the program (or a light version of it) will be available somewhere in internet for downloading as shareware. The manual (and the complete version) will be available on registration. If anyone is interested, he can mail me his address, and I will inform him as soon as this will start. By then, I can send as an email attachment the most recent version of Malcolm 2.0 beta version. I also inform that a revised and improved version of Carlo Giannini's book (nearly twice as many pages) is ready, coauthored by Gianni Amisano. The book will be released by Springer Verlag in a couple of months (Giannini-Amisano, Topics in Structural VAR Econometrics, second edition). For more information, you may contact Carlo Giannini and Gianni Amisano at the following addresses: cgiannini@eco.unipv.it amisano@master.cci.unibs.it and myself at the address mosconi@mail.ecopro.polimi.it Yours, Rocco Mosconi -- ***************************************** * Rocco Mosconi * * Dipartimento di Economia e Produzione * * Politecnico di Milano * * Piazza L. da Vinci 32 * * 20133 MILANO - ITALY * * Phone: (39)-2-23992747 * * Fax : (39)-2-23992710 * * email: mosconi@mail.ecopro.polimi.it * ***************************************** ---------- End of message ---------- From: CROWLEY PATRICK # ECONOMICS To: "RATS Discussion List" Subject: Re: FDI Data Date: Wed, 30 Oct 1996 00:42:48 +0000 (ADT4AST) Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Organization: Saint Mary's University X-Mailer: Pegasus Mail v3.22 (via Mercury MTS (Bindery) v1.30) Content-transfer-encoding: 7BIT Hi everyone, Does anyone know where I can obtain data for FDI and portfolio capital flows between the major EU member states (Germany, France, UK, Italy) and the US, Japan and perhaps Canada. I have tried IMF and Eurostat with no luck at all. Patrick Crowley ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ Patrick Crowley, Department of Economics, Tel:(902) 420-5675 Saint Mary's University, Fax:(902) 420-5129 Halifax, email: pcrowley@shark.stmarys.ca Nova Scotia B3K 3W3 Home tel: (902) 492-8673 CANADA ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ ---------- End of message ---------- From: Peter Summers To: "RATS Discussion List" Subject: Re: FDI Data Date: Wed, 30 Oct 1996 17:39:39 +1100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: X-Mailer: Windows Eudora Pro Version 2.2 (32) (via Mercury MTS (Bindery) v1.30) Mime-Version: 1.0 Content-Type: text/plain; charset="us-ascii" Patrick (and others), I think the US Commerce Department publishes FDI data for the US -- at least they did a few years ago. I'm clueless as to the other countries. Good luck, Pete **************************************************************************** Peter Summers Research Fellow Melbourne Institute of Applied Economic and Social Research University of Melbourne Parkville, VIC 3052 AUSTRALIA ph: (03) 9344-5330 fax: (03) 9344-5630 email: p.summers@iaesr.unimelb.edu.au **************************************************************************** ---------- End of message ----------