Search found 9 matches

by eca05jpm
Thu Jun 05, 2014 5:45 am
Forum: Add-in Support
Topic: HDecomp (historical decomposition)
Replies: 32
Views: 36266

Re: HDecomp (historical decomposition)

Hi fregensberg,

I ran the Hdecomp addin on the VAR, selected structural decomposition and looked at the histmat.
None of the columns looks anything like figure 8, whether the shocks are accumulated or not.

If you don't mind me asking, does it work on your machine?

Thanks,

Jamie
by eca05jpm
Thu Jun 05, 2014 4:36 am
Forum: Add-in Support
Topic: HDecomp (historical decomposition)
Replies: 32
Views: 36266

Re: HDecomp (historical decomposition)

Hi guys, I'm trying to replicate the BQ results in figure 8 of their paper (as was the gentleman above). I've got the original data in the attached workfile and cannot, for the life of me, get the results to match using hdecomp. I'd be very grateful if you could advise me where I am going wrong or i...
by eca05jpm
Tue May 06, 2014 9:26 am
Forum: Econometric Discussions
Topic: Beveridge Nelson in real-time
Replies: 0
Views: 835

Beveridge Nelson in real-time

Hi all, I've been using the BNdecomp add-in to calculate the Beveridge-Nelson decomposition - very handy and great that it is available. But I am interested in looking at it in real time - the add-in requires de-meaned data and nobody knows what the sample mean will be in real-time. So I thought it ...
by eca05jpm
Tue May 06, 2014 9:22 am
Forum: Econometric Discussions
Topic: Potential output, the Clark model and State Space Models
Replies: 10
Views: 5014

Re: Potential output, the Clark model and State Space Models

Hi guys, Thanks to Trubador for the suggestions - I still wasn't able to get the Clark model to work properly. Just in case anyone else is tempted to use it, I would suggest don't bother. Further reading revealed that the model is not well-identified - you really need to make some other restrictive ...
by eca05jpm
Wed Apr 30, 2014 10:09 am
Forum: Estimation
Topic: Real time principal components analysis
Replies: 0
Views: 767

Real time principal components analysis

Hi all,

Looking to estimate an output gap using PCA but would like to do create a real-time series.
Anyone know if there is some functionality in eviews for this or whether it requires a program to be written?

Very grateful of assistance,

Jamie
by eca05jpm
Wed Apr 30, 2014 9:17 am
Forum: Econometric Discussions
Topic: Hodric Prescott
Replies: 1
Views: 1097

Re: Hodric Prescott

It is better to use a filter (it better captures movements in potential output) - but be aware that it is much less reliable at the end of the sample.
by eca05jpm
Wed Apr 30, 2014 9:10 am
Forum: Econometric Discussions
Topic: Potential output, the Clark model and State Space Models
Replies: 10
Views: 5014

Re: Potential output, the Clark model and State Space Models

Hi everyone, thanks very much for the helpful suggestion from Nicholasr. Sadly an undiagnosed problem remains... I now have a model which is the same as the first Clark model I posted above - a time varying drift assumption, I think would be asking too much from one time series so I have held it fix...
by eca05jpm
Thu Apr 17, 2014 7:58 am
Forum: Estimation
Topic: NAIRU and Kalman Filter
Replies: 15
Views: 8414

Re: NAIRU and Kalman Filter

Hi Sunny, I'm trying to do something similar on UK data so if you have any success I would be very grateful if you could post your workfile so I can see what worked for you.

Many thanks and best of luck,

Jamie
by eca05jpm
Thu Apr 17, 2014 7:45 am
Forum: Econometric Discussions
Topic: Potential output, the Clark model and State Space Models
Replies: 10
Views: 5014

Potential output, the Clark model and State Space Models

Good afternoon, I've been trying to estimate potential output using the Clark model on UK data and had no success getting plausible estimates. I'd be very grateful if someone could point out what it is I'm doing wrong. I have considered two models: The first is the standard Clark model @signal gdp =...

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