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by dakila
Sun Feb 18, 2018 3:36 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 49
Views: 6345

Re: FAVAR add-in

see Killian (1998).
by dakila
Sun Feb 18, 2018 3:34 pm
Forum: Add-in Support
Topic: SVAR - SIRF Add-in
Replies: 5
Views: 963

Re: SVAR - SIRF Add-in

What is the version you use?
by dakila
Thu Feb 15, 2018 12:23 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 49
Views: 6345

Re: FAVAR add-in

Code: Select all

vardecx=lam.@t*varf*lam          ' variance in x's due to monetary shock
vardecxtot=lam.@t*varftot*lam    ' variance in x's due to all commom factors               
vardecxcom=@ediv(@getmaindiagonal(vardecx), @getmaindiagonal(vardecxtot))
by dakila
Tue Feb 13, 2018 2:41 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 49
Views: 6345

Re: FAVAR add-in

Sorry. I don't understand your question. How did you get favarb01 object?
by dakila
Mon Feb 12, 2018 6:50 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 49
Views: 6345

Re: FAVAR add-in

No. All interpretations are in std. its does not matter whether the horizon is 48 or 60. The result is the same.
by dakila
Sun Feb 11, 2018 3:27 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 49
Views: 6345

Re: FAVAR add-in

Hi Ben, am I right to suppose that your great add-in has this feature that it uses accumulated irfs for variables that are log-differentiated and otherwhise it uses the standard irfs? Yes, you are right. The units on the axes are standard deviation units or % units? standard deviation units because ...
by dakila
Wed Feb 07, 2018 5:12 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 49
Views: 6345

Re: FAVAR add-in

1) the standard deviation I am referring is the standard deviation of FFR, not cholesky decomposition of VAR residual VCMatrix. For instance, you can estimate it by command of @stdevp(ffr) before variable transformation. 2) favar(factor=3,horizon=48,rep=1000,ci=0.9,save=1,vd=1, scale=1, sn=0.07816) ...
by dakila
Tue Feb 06, 2018 2:05 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 49
Views: 6345

Re: FAVAR add-in

Hi Ben, The FAVAR add-in is updated. Now it includes an option to scale the IRF. Please update it. Is that no problem as long as the factors are stationary? Yes, it is no problem. Many researcher estimate VAR model in level variable (not first difference) even though variables are I(1). For example,...
by dakila
Sun Feb 04, 2018 3:19 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 49
Views: 6345

Re: FAVAR add-in

The fed fund rate is observable factor. Other factors are unobservable. Therefore FFR should be compatible with other factors. For example, FFR is used with the factor rotation analysis. Even though FFR is I(1) variable, you cannot difference FFR. Because it is impulse variable. Shock to FFR should ...
by dakila
Tue Jan 30, 2018 12:11 am
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 113
Views: 19988

Re: Threshold Structural VAR

The sample size is very short. Try to reduce the lag number. For example reduce the lag to 2.
by dakila
Mon Jan 29, 2018 4:30 am
Forum: Add-in Support
Topic: LSunit add-in
Replies: 2
Views: 114

Re: LSunit add-in

Thanks for the good point. I will try to include the thin option soon.
by dakila
Tue Jan 23, 2018 5:17 pm
Forum: Econometric Discussions
Topic: Small Sample Unit Root Tests
Replies: 1
Views: 158

Re: Small Sample Unit Root Tests

do bayesian analysis.
by dakila
Tue Jan 16, 2018 3:36 pm
Forum: Add-in Support
Topic: BBQ add-in
Replies: 12
Views: 631

Re: BBQ add-in

Hi there,
Please update the add-in. Now it can handle series with NA correctly.
by dakila
Tue Jan 09, 2018 6:12 pm
Forum: Add-in Support
Topic: BBQ add-in
Replies: 12
Views: 631

Re: BBQ add-in

Hi, I fixed the bugs. Please update it.
by dakila
Mon Jan 08, 2018 6:00 pm
Forum: Estimation
Topic: Unit Root test with two structural breaks
Replies: 6
Views: 5410

Re: Unit Root test with two structural breaks

It's done. Try the LSunit add-in.

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