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by dakila
Wed Nov 22, 2017 2:55 pm
Forum: Add-in Support
Topic: Large Bayesian VAR
Replies: 19
Views: 1140

Re: Large Bayesian VAR

What is your Eviews version? Can you run a example of the lbvar add-in? Sample size should not include the missing observations. Training sample should be at least 30-40.
by dakila
Tue Nov 21, 2017 4:07 pm
Forum: Add-in Support
Topic: Large Bayesian VAR
Replies: 19
Views: 1140

Re: Large Bayesian VAR

Did you create random walk prior vector before the estimation?
Could you provide the data file and description of the model?
by dakila
Mon Nov 20, 2017 2:08 pm
Forum: Add-in Support
Topic: Favar QUESTION
Replies: 39
Views: 4948

Re: Favar QUESTION

Note that the figures report impulse responses in standard deviation units.
by dakila
Fri Nov 17, 2017 5:52 pm
Forum: Add-in Support
Topic: BN filter
Replies: 3
Views: 92

Re: BN filter

Thanks. It's working now.
by dakila
Fri Nov 17, 2017 4:50 pm
Forum: Add-in Support
Topic: BN filter
Replies: 3
Views: 92

Re: BN filter

I cannot download the add-in.
by dakila
Fri Nov 17, 2017 4:46 pm
Forum: Add-in Support
Topic: BN filter
Replies: 3
Views: 92

BN filter

This thread is about the BNFilter add-in that estimates the BN decomposition to impose a low signal-to-noise ratio.
by dakila
Thu Nov 16, 2017 7:31 am
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 104
Views: 15650

Re: Threshold Structural VAR

No
by dakila
Fri Oct 20, 2017 5:16 pm
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 104
Views: 15650

Re: Threshold Structural VAR

Hello Edgar,

You can do it easily. For example, first estimate VAR model using the following code or the dialog box:

Code: Select all

smpl 1960q1 1997q3 if d1=1
var var01.ls 1 4 d1gdp d1pgdp fyff cpbill1

Then use eviews VAR model test.
by dakila
Tue Oct 17, 2017 6:30 am
Forum: Add-in Support
Topic: Large Bayesian VAR
Replies: 19
Views: 1140

Re: Large Bayesian VAR

If you have the missing observations because of the first order difference, then you should adjust the sample size.
by dakila
Fri Oct 13, 2017 3:13 pm
Forum: Add-in Support
Topic: Large Bayesian VAR
Replies: 19
Views: 1140

Re: Large Bayesian VAR

You should put the irw vector into the Random walk prior box.
by dakila
Thu Oct 12, 2017 3:48 pm
Forum: Add-in Support
Topic: Large Bayesian VAR
Replies: 19
Views: 1140

Re: Large Bayesian VAR

You need to create the vector for Random walk prior box. For example: vector irw=@zeros(10) If fifth variable is non-stationary then irw(5)=1 You manually entered lambda and tau. So you don't need to fit evaluation variables. If you choose grid search then you need the fit evaluation variables. Fit ...
by dakila
Mon Oct 02, 2017 11:58 pm
Forum: Add-in Support
Topic: Sign Restricted VAR
Replies: 25
Views: 6860

Re: Sign Restricted VAR

No. You cannot interpret like that. First define the shock by the sign restriction, then interpret impulse response function of Y and X as the effect of that shock.
by dakila
Mon Sep 25, 2017 3:41 pm
Forum: Add-in Support
Topic: Dynamic Model Averaging
Replies: 3
Views: 1615

Re: Dynamic Model Averaging

I am confused about what the 4 5 digits mean. 4 is forecast horizon. 5 is transformation code (log difference) for dependent variable. I tried estimating the model using the combo box but I keep getting an error msge: "3 is not a valid index for vector-series-coefficient tcode". I am esti...
by dakila
Thu Sep 21, 2017 5:22 pm
Forum: Add-in Support
Topic: Large Bayesian VAR
Replies: 19
Views: 1140

Re: Large Bayesian VAR

can you check your private message?
by dakila
Tue Sep 12, 2017 5:14 pm
Forum: Estimation
Topic: implement Generalized IRF from system object (VAR estimated with GMM)
Replies: 5
Views: 401

Re: implement Generalized IRF from system object (VAR estimated with GMM)

First, estimate GIRF using eviews built-in command or dialog box. Then use the sirf add-in.

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