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by dakila
Wed Mar 11, 2020 9:00 pm
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 126
Views: 61698

Re: Threshold Structural VAR

you forget response variable. Also your threshold variable should be endogenous.
by dakila
Sun Mar 01, 2020 6:09 pm
Forum: Add-in Support
Topic: Kilian add-in
Replies: 7
Views: 3492

Re: Kilian add-in

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.
by dakila
Sun Mar 01, 2020 5:51 pm
Forum: Add-in Support
Topic: ARW add-in
Replies: 6
Views: 3857

Re: ARW add-in

Just try to estimate the FEVD with the different long horizon and check the convergence.
by dakila
Sun Mar 01, 2020 5:43 pm
Forum: Add-in Support
Topic: BN filter
Replies: 10
Views: 5761

Re: BN filter

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?
by dakila
Sat Feb 22, 2020 4:23 am
Forum: Add-in Support
Topic: ARW add-in
Replies: 6
Views: 3857

Re: ARW add-in

What is the version of Eviews you use? It only works for the version 11.
by dakila
Fri Feb 14, 2020 12:17 am
Forum: Add-in Support
Topic: Conditional VAR forecast
Replies: 21
Views: 16370

Re: Conditional VAR forecast

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...
by dakila
Mon Nov 25, 2019 4:49 pm
Forum: Add-in Support
Topic: Large Bayesian VAR
Replies: 36
Views: 14633

Re: Large Bayesian VAR

Hi
What is the version of Eviews you use?
by dakila
Thu Nov 07, 2019 7:44 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 98
Views: 37446

Re: FAVAR add-in

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.
by dakila
Sat Nov 02, 2019 10:39 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 98
Views: 37446

Re: FAVAR add-in

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...
by dakila
Fri Oct 18, 2019 12:34 am
Forum: Add-in Support
Topic: Quantile on Quantile regression & VAR for VAR model
Replies: 2
Views: 2298

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: 98
Views: 37446

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: 6
Views: 3857

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: 7
Views: 3492

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: 5519

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: 43
Views: 40971

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.

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