Search found 7 matches

by vikas.trades25
Mon Oct 16, 2017 8:10 am
Forum: Add-in Support
Topic: Large Bayesian VAR
Replies: 49
Views: 247531

Re: Large Bayesian VAR

Thanks for the previous reply.
I get the following error now: "EXTSER is not the same length as sample"
I need to get the forecasts for all 13 vars. Do I need to give anything in the impulse variable box.
by vikas.trades25
Fri Oct 13, 2017 7:34 am
Forum: Add-in Support
Topic: Large Bayesian VAR
Replies: 49
Views: 247531

Re: Large Bayesian VAR

All my variables are stationary. I have created the "irw" vector. Now do I need to give all the variable names in the endogenous variables, since all the variables are included in the model. It gives me the same error "sizes do not match in matrix function". When I also include i...
by vikas.trades25
Thu Oct 12, 2017 1:38 pm
Forum: Add-in Support
Topic: Large Bayesian VAR
Replies: 49
Views: 247531

Re: Large Bayesian VAR

I get the following error "Size do not match in matrix function". 9 variables are in log differences while one is in levels.
by vikas.trades25
Thu Oct 12, 2017 9:32 am
Forum: Add-in Support
Topic: Large Bayesian VAR
Replies: 49
Views: 247531

Re: Large Bayesian VAR

I am using a 10 variable, with 5 lags model with quarterly data from 1980 onwards, All my variables enter in log-differences, so random walk prior is 0. Do I need to enter an array of 10 0's for all the 10 variables in the "Random walk prior box". Lambda is 0.15 and Tau is 1.5. Estimation ...
by vikas.trades25
Mon Sep 18, 2017 10:10 am
Forum: Estimation
Topic: Midas Intra-period forecast
Replies: 1
Views: 3047

Midas Intra-period forecast

Hi, I wanted to know if intra-period midas forecasting is implemented in Eviews, like explained in the paper by Armesto et al (2010). The relevant section is eqn 8 in that paper. I want to forecast a monthly series using a weekly series. Monthly series is available till July 2017 and weekly series t...
by vikas.trades25
Mon Sep 18, 2017 4:10 am
Forum: Programming
Topic: MIdas Intra-period forecast
Replies: 0
Views: 2213

MIdas Intra-period forecast

Hi, I wanted to know if intra-period midas forecasting is implemented in Eviews, like explained in the paper by Armesto et al (2010). The relevant section is eqn 8 in that paper. I want to forecast a monthly series using a weekly series. Monthly series is available till July 2017 and weekly series t...
by vikas.trades25
Fri Jul 03, 2015 7:43 am
Forum: Econometric Discussions
Topic: Method of Variable selection for VAR model
Replies: 0
Views: 2294

Method of Variable selection for VAR model

Hi, I need to build a weighted index, given some variables using the VAR (vector auto regression) approach. The weights of the variable are to be decided by a impulse response function. I need some approach on deciding what all variables to go in the model. I have a pre-selected bunch of variables(b...

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