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by dakila
Fri Oct 18, 2019 12:34 am
Forum: Add-in Support
Topic: Quantile on Quantile regression & VAR for VAR model
Replies: 1
Views: 40

Re: Quantile on Quantile regression & VAR for VAR model

Could you post the reference paper?
by dakila
Tue Oct 08, 2019 6:43 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 93
Views: 23507

Re: FAVAR add-in

Hi Markus, Here the slow and fast variables matter for recovering common components, F other than R. In order to estimate common components F, we removes direct dependences of C(F,R) on R: 1. Estimate principal components, C(F, R) from entire dataset 2. Estimate C(F*) extracting principal components...
by dakila
Wed Sep 11, 2019 5:50 pm
Forum: Add-in Support
Topic: ARW add-in
Replies: 0
Views: 139

ARW add-in

This thread is about the ARW add-in that implements Arias, Rubio-Ramirez and Waggoner algorithm for sign and zero restricted VARs.
by dakila
Wed Sep 11, 2019 12:04 am
Forum: Add-in Support
Topic: Kilian add-in
Replies: 4
Views: 857

Re: Kilian add-in

The bug is fixed. I hope the moderator will upload the add-in soon.
by dakila
Mon Sep 09, 2019 8:31 am
Forum: Add-in Support
Topic: LSunit add-in
Replies: 10
Views: 2965

Re: LSunit add-in

Could you post the data?
by dakila
Sat Jun 22, 2019 1:21 am
Forum: Add-in Support
Topic: Diebold-Yilmaz index
Replies: 42
Views: 32852

Re: Diebold-Yilmaz index

When estimate the DY index just tick the save pairwise spillovers. After that do it manually get the net pairwise connectedness.
by dakila
Tue Jun 11, 2019 5:45 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 93
Views: 23507

Re: FAVAR add-in

1. Is it possible to forecast individual series used to build factors? (not just factors themselves) Yes . this question was answered before Is it possible to draw factors from multiple datasets? Let's say I have sets X1 and X2 composed of different data series and I would like to use the first pri...
by dakila
Tue Jun 11, 2019 3:09 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 93
Views: 23507

Re: FAVAR add-in

1. Is it possible to forecast individual series used to build factors? (not just factors themselves) Yes . this question is answered before Is it possible to draw factors from multiple datasets? Let's say I have sets X1 and X2 composed of different data series and I would like to use the first prin...
by dakila
Tue May 28, 2019 3:21 pm
Forum: Add-in Support
Topic: Kilian add-in
Replies: 4
Views: 857

Kilian add-in

This thread is about the kilian add-in that that implements the Kilian bias-adjusted bootstrap for VAR impulse response.
by dakila
Thu May 16, 2019 6:15 pm
Forum: Add-in Support
Topic: Diebold-Yilmaz index
Replies: 42
Views: 32852

Re: Diebold-Yilmaz index

The bug is fixed. Please update the add-in. I hope the moderator will post it soon. But carefully choose the rolling window parameter. It should not exceed the sample size.
by dakila
Tue May 14, 2019 11:30 pm
Forum: Add-in Support
Topic: Diebold-Yilmaz index
Replies: 42
Views: 32852

Re: Diebold-Yilmaz index

Yes, you are right. It does not work for the version 11. I will fix it soon. But it can work for the version 10 if you have access to it.
by dakila
Tue May 14, 2019 4:40 pm
Forum: Add-in Support
Topic: Diebold-Yilmaz index
Replies: 42
Views: 32852

Re: Diebold-Yilmaz index

What is your eviews version?
by dakila
Sat May 11, 2019 3:45 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 93
Views: 23507

Re: FAVAR add-in

Would I need to set sn equal to 0.25/std(ffr) if I estimated the FAVAR with non-standardized data? I think you need to set sn equal to 0.25/std(ffr) if you estimated the FAVAR with standardized data. I would also like to know if the "favar" command allows for the inclusion of a constant a...
by dakila
Mon May 06, 2019 7:51 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 93
Views: 23507

Re: FAVAR add-in

Yes, it is right. Use scale (1 or 0) and sn (scale number) command. For example,

Code: Select all

favar(factor=3,horizon=60,rep=1000,ci=0.9,vd=1, scale=1, sn=0.25) 13 xdata xslow xir tcode yx_name @ ffr
by dakila
Sun May 05, 2019 7:39 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 93
Views: 23507

Re: FAVAR add-in

Generally It will depend on the time horizons. That case the variance decomposition converged quickly the long run value.

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