## Search found 237 matches

Thu Aug 17, 2017 4:40 pm
Topic: Threshold Structural VAR
Replies: 87
Views: 12247

### Re: Threshold Structural VAR

Is there a way to obtain the VAR estimation for each regime instead of different outputs for each dependent variable?

It is indeed the VAR estimation. If read any textbook on VAR, it will tell that VAR estimation equal to OLS estimation of each dependent variable equation.
Thu Aug 17, 2017 4:34 pm
Topic: Threshold Structural VAR
Replies: 87
Views: 12247

### Re: Threshold Structural VAR

when i want to run the Add in in eviews 10 demo, it tells me that syntax error.What is that,please?

It is a bug for Eviews 10. It is fixed. Just update the thsvar add-in.
Mon Aug 14, 2017 5:51 am
Topic: Threshold Structural VAR
Replies: 87
Views: 12247

### Re: Threshold Structural VAR

Is there a way to calculate a 1 percent shock instead of a 1 standard deviation shock? I think there is no way to do so. Because Balke's Threshold VAR model is nonlinear. So it is not scalable. The problem is that my threshold variable is inflation growth rate, and it's standard deviation is 0.59, ...
Mon Aug 14, 2017 5:44 am
Topic: Threshold Structural VAR
Replies: 87
Views: 12247

### Re: Threshold Structural VAR

In the balke paper,it says the threshold value is the one that maximizes the log determinant of the structural residuals.But here ,in the add in ,I read the result as specification that minimizes the log determinant.So,is there any difference between this two points? could you give me a general int...
Fri Aug 04, 2017 9:01 pm
Topic: Sign Restricted VAR
Replies: 22
Views: 5562

### Re: Sign Restricted VAR

Could you post the working file?

Also, is it possible to implement a combination of sign and zero restrictions using your add-in?

No. It is not possible.
Wed Aug 02, 2017 6:17 pm
Topic: Time varying SVAR
Replies: 95
Views: 14640

### Re: Time varying SVAR

sorry not yet
Wed Aug 02, 2017 5:54 am
Topic: Sign Restricted VAR
Replies: 22
Views: 5562

### Re: Sign Restricted VAR

It is not possible to restrict the parameter or the matrix. The sign restriction vector is related the IRF.
Wed Jul 26, 2017 1:05 am
Topic: Favar QUESTION
Replies: 34
Views: 3612

### Re: Favar QUESTION

what is Tx?
Sat Jul 22, 2017 12:40 am
Topic: Favar QUESTION
Replies: 34
Views: 3612

### Re: Favar QUESTION

what should i do to get them (like figure 01 in your exple) ? You should do the same things for the confidence interval. For example: matrix irf_ub=irfxmat_ub01/irfxmat_ub01(1,1) irf_ub = irf_ub*(-0.25/ffr_std) ' upper bound matrix irf_lb=irfxmat_lb01/irfxmat_lb01(1,1) irf_lb = irf_lb*(-0.25/ffr_st...
Sun Jul 16, 2017 2:27 pm
Topic: Threshold Structural VAR
Replies: 87
Views: 12247

### Re: Threshold Structural VAR

I think problem is that you are using the demo version.
Sun Jul 16, 2017 2:18 pm
Topic: Favar QUESTION
Replies: 34
Views: 3612

### Re: Favar QUESTION

Yes, it is possible. First you need to save the IRF. For instance: favar(factor=3,horizon=48,rep=1000,ci=0.9,save=1) 13 xdata xslow xir tcode yx_name @ ffr After the estimation you will need to calculate the unit IRF: matrix irf_scl=irfxmat201/irfxmat201(1,1) then scale it by parameter you want for ...
Sat Jul 15, 2017 1:13 am
Topic: Favar QUESTION
Replies: 34
Views: 3612

### Re: Favar QUESTION

Yes. it is possible to estimate conditional forecast with the FAVAR add-in. You will need to install the Confcast add-in. after the estimation you should use the following command (for BBE example): First you will need to estimate the factor loading equation for selected variable (for example series...
Thu Jul 13, 2017 5:41 pm
Topic: Favar QUESTION
Replies: 34
Views: 3612

### Re: Favar QUESTION

If I were you I will never transform interest rate. If you really want the first difference transformation, I will try to include it.
Wed Jul 05, 2017 6:24 pm
Replies: 29
Views: 3824

if you have missing value, change the sample size.
Sat Jul 01, 2017 4:09 pm
Replies: 29
Views: 3824

there is an example program which replicates BBE (2005) ' BBE (2005) replicaton ' Figure 2 ' Table 1 %path = @runpath cd %path ' open the BBE data that is transformed to induce stationarity wfopen(type=txt) nsbalpanel.txt delim=space pagestruct(freq=m,start=1959) 'rename some variables for !i=1 to 9...