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you forget response variable. Also your threshold variable should be endogenous.

I will try to include the option which provides the accumulative IRFs. Yes, you can do this manually after saving the IRFs or write code.

Just try to estimate the FEVD with the different long horizon and check the convergence.

Hi Paolo,

Yes, the add-in was updated. It now includes the option to impose the smoothing parameter (delta). It works fine. Could you post the data and the error details?

What is the version of Eviews you use? It only works for the version 11.

1- Should all the variables be in logs before VAR estimation? It depends on your variable and VAR model. 2- Should the multi-period constraints be set as point constraints, or cumulative? For instance, imagine we have qoq GDP growth in the VAR (without the logs). We want to set GDP growth to +0.2 f...

Hi
What is the version of Eviews you use?

If lambda_y equal to zero for the slow-moving variables then you will miss not just the impact period but all period effects of FFR (federal funds rate). That does not make sense.

Hi Markus, The loadings matrix is supposed to have zeros in the 4th column for all slow moving variables as there is no contemporaneous effect of the policy rate shock on those variables. I think that assumption is questionable. The slow and fast moving variables matter for the factor rotation not f...

Could you post the reference paper?

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...

This thread is about the ARW add-in that implements Arias, Rubio-Ramirez and Waggoner algorithm for sign and zero restricted VARs.

The bug is fixed. I hope the moderator will upload the add-in soon.

Could you post the data?

When estimate the DY index just tick the save pairwise spillovers. After that do it manually get the net pairwise connectedness.