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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.

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...

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...

This thread is about the kilian add-in that that implements the Kilian bias-adjusted bootstrap for VAR impulse response.

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.

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.

What is your eviews version?