Search found 237 matches

by dakila
Thu Aug 17, 2017 4:40 pm
Forum: Add-in Support
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.
by dakila
Thu Aug 17, 2017 4:34 pm
Forum: Add-in Support
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.
by dakila
Mon Aug 14, 2017 5:51 am
Forum: Add-in Support
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, ...
by dakila
Mon Aug 14, 2017 5:44 am
Forum: Add-in Support
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...
by dakila
Fri Aug 04, 2017 9:01 pm
Forum: Add-in Support
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.
by dakila
Wed Aug 02, 2017 6:17 pm
Forum: Add-in Support
Topic: Time varying SVAR
Replies: 95
Views: 14640

Re: Time varying SVAR

sorry not yet
by dakila
Wed Aug 02, 2017 5:54 am
Forum: Add-in Support
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.
by dakila
Wed Jul 26, 2017 1:05 am
Forum: Add-in Support
Topic: Favar QUESTION
Replies: 34
Views: 3612

Re: Favar QUESTION

what is Tx?
by dakila
Sat Jul 22, 2017 12:40 am
Forum: Add-in Support
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...
by dakila
Sun Jul 16, 2017 2:27 pm
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 87
Views: 12247

Re: Threshold Structural VAR

I think problem is that you are using the demo version.
by dakila
Sun Jul 16, 2017 2:18 pm
Forum: Add-in Support
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 ...
by dakila
Sat Jul 15, 2017 1:13 am
Forum: Add-in Support
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...
by dakila
Thu Jul 13, 2017 5:41 pm
Forum: Add-in Support
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.
by dakila
Wed Jul 05, 2017 6:24 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 29
Views: 3824

Re: FAVAR add-in

if you have missing value, change the sample size.
by dakila
Sat Jul 01, 2017 4:09 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 29
Views: 3824

Re: FAVAR add-in

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...

Go to advanced search