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by dakila
Sun Jul 16, 2017 2:27 pm
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 77
Views: 11143

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: 29
Views: 3043

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: 29
Views: 3043

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: 29
Views: 3043

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: 3473

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: 3473

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...
by dakila
Fri Jun 30, 2017 4:44 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 29
Views: 3473

Re: FAVAR add-in

Did you read the instruction which is located in C:\Users\...\Documents\EViews Addins\FAVAR (Favar Package.pdf)?
by dakila
Tue Jun 27, 2017 7:46 am
Forum: Add-in Support
Topic: Time varying SVAR
Replies: 93
Views: 13628

Re: Time varying SVAR

I hope it will be released very soon.
by dakila
Mon Jun 26, 2017 7:19 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 29
Views: 3473

Re: FAVAR add-in

Yes, I think that made the difference.
by dakila
Fri Jun 23, 2017 2:29 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 29
Views: 3473

Re: FAVAR add-in

"ROT" means the rotated factors. In order to estimate the factors do the following steps: 1) estimate factors (C) using all variables except FFR (you did this step) 2) estimate slow moving factors (Fs) from the slow moving variables. 3) estimate the regression by OLS : C=b1*Fs + b2*FFR + e...
by dakila
Wed Jun 21, 2017 3:39 pm
Forum: Estimation
Topic: VAR Forecasting with predetermined time series
Replies: 2
Views: 117

Re: VAR Forecasting with predetermined time series

Use the confcast add-in.
by dakila
Tue Jun 13, 2017 2:37 pm
Forum: Estimation
Topic: FAVAR model estimation
Replies: 1
Views: 116

Re: FAVAR model estimation

I think you should change the sample size because you may have the missing values after the transformation of the variables. Next time you should ask question in the Add=in support section.
by dakila
Fri Jun 09, 2017 5:54 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 29
Views: 3473

Re: FAVAR add-in

Yes, It actually do the cumulative IRFs when you transform the variable. For example, if you put the transformation code 4 or 5 it will accumulate the IRFs.
by dakila
Wed Jun 07, 2017 7:41 pm
Forum: Add-in Support
Topic: Time varying SVAR
Replies: 93
Views: 13628

Re: Time varying SVAR

I will try.
by dakila
Wed Jun 07, 2017 4:35 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 29
Views: 3473

Re: FAVAR add-in

Good idea. I will try to code it.

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