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by dakila
Sat Feb 20, 2021 6:31 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 100
Views: 82291

Re: FAVAR add-in

That is not possible for this version. I will try to include it to the next version.
by dakila
Mon Jan 18, 2021 8:12 am
Forum: Add-in Support
Topic: Dynamic Multipliers
Replies: 2
Views: 232

Re: Dynamic Multipliers

Do you mean impulse response to exogenous variable shock in VARX model?
by dakila
Mon Jan 18, 2021 2:04 am
Forum: Add-in Support
Topic: Error 8 in encrypted program
Replies: 13
Views: 688

Re: Error 8 in encrypted program

The following code works for me:

Code: Select all

series dlogexpecnominal=dlog(nominexch)
series dlogsp500=dlog(s_p500_index)
series expecinflation=inflation_surprise
var01.ls 1 2 dlogexpecnominal dlogsp500 expecinflation fedfundsrate
var01.impulse(48, se=a) @imp fedfundsrate
var01.kilian fedfundsrate
by dakila
Sun Jan 17, 2021 10:38 am
Forum: Add-in Support
Topic: Error 8 in encrypted program
Replies: 13
Views: 688

Re: Error 8 in encrypted program

Just put one variable in the impulse variable box. if you upgrade your Eviews 11 to Eviews 12 there is built-in procedure of Kilian bootstrap.
by dakila
Sun Jan 17, 2021 12:14 am
Forum: Add-in Support
Topic: tvgc add-in
Replies: 12
Views: 3150

Re: tvgc add-in

I am not sure about your question. You should ask the question from authors of paper: Shuping Shi or Peter Phillips
by dakila
Sat Jan 16, 2021 4:22 pm
Forum: Add-in Support
Topic: Error 8 in encrypted program
Replies: 13
Views: 688

Re: Error 8 in encrypted program

You should create variables before the estimation. For example:

Code: Select all

series dlogexpec= dlog(expecnominal)
or
series dlogexpec=d(logexpecnominal)

Do not use expression such as log and difference.
by dakila
Fri Jan 15, 2021 3:49 pm
Forum: Add-in Support
Topic: Error 8 in encrypted program
Replies: 13
Views: 688

Re: Error 8 in encrypted program

Please describe the specification of VAR model.
by dakila
Fri Jan 15, 2021 8:50 am
Forum: Add-in Support
Topic: tvgc add-in
Replies: 12
Views: 3150

Re: tvgc add-in

C:\Users\...\Documents\EViews Addins\tvgc
by dakila
Fri Jan 15, 2021 6:44 am
Forum: Add-in Support
Topic: Error 8 in encrypted program
Replies: 13
Views: 688

Re: Error 8 in encrypted program

Please send me your data. Next time, you should ask question on the Kilian add-in thread
by dakila
Thu Jan 14, 2021 9:47 am
Forum: Add-in Support
Topic: tvgc add-in
Replies: 12
Views: 3150

Re: tvgc add-in

can you run the example file (tvgc_ex.prg)?
by dakila
Fri Dec 25, 2020 6:40 am
Forum: Add-in Support
Topic: tvgc add-in
Replies: 12
Views: 3150

Re: tvgc add-in

This thread is about the TVGC add-in that estimates subsample tests (a forward recursive algorithm, a rolling window algorithm, and a recursive evolving algorithm) of Granger causality within a lag-augmented vector autoregressive framework (pleases see Shuping, Hurn and Phillips, 2020).
by dakila
Mon Dec 21, 2020 3:49 pm
Forum: Add-in Support
Topic: tvgc add-in
Replies: 12
Views: 3150

Re: tvgc add-in

It requires the version 12.
by dakila
Tue Dec 01, 2020 5:11 pm
Forum: Add-in Support
Topic: The Morley-Wong decomposition add-in
Replies: 0
Views: 3344

The Morley-Wong decomposition add-in

This thread is about the Morley-Wong decomposition add-in that estimates the trend and cycle of a time series given a large information set using the Beveridge-Nelson decomposition based on a large Bayesian vector autoregression.
by dakila
Tue Nov 03, 2020 12:33 am
Forum: Add-in Support
Topic: Panel SVAR
Replies: 20
Views: 24068

Re: Panel SVAR

Hi,

I think that there is the multicollinearity problem. The correlation coefficient between incgini and consgii is 0.78.
by dakila
Mon Jul 20, 2020 6:02 pm
Forum: Add-in Support
Topic: Diebold-Yilmaz index
Replies: 53
Views: 70549

Re: Diebold-Yilmaz index

Hi,

You are right. You already did it manually. That is only possible way to get the net spillover index. I will update it sometimes later.

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