## Search found 291 matches

Thu Feb 15, 2018 12:23 am
Replies: 48
Views: 6327

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`vardecx=lam.@t*varf*lam          ' variance in x's due to monetary shockvardecxtot=lam.@t*varftot*lam    ' variance in x's due to all commom factors                vardecxcom=@ediv(@getmaindiagonal(vardecx), @getmaindiagonal(vardecxtot))`
Tue Feb 13, 2018 2:41 am
Replies: 48
Views: 6327

Sorry. I don't understand your question. How did you get favarb01 object?
Mon Feb 12, 2018 6:50 am
Replies: 48
Views: 6327

No. All interpretations are in std. its does not matter whether the horizon is 48 or 60. The result is the same.
Sun Feb 11, 2018 3:27 am
Replies: 48
Views: 6327

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 ...
Wed Feb 07, 2018 5:12 am
Replies: 48
Views: 6327

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) ...
Tue Feb 06, 2018 2:05 pm
Replies: 48
Views: 6327

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,...
Sun Feb 04, 2018 3:19 pm
Replies: 48
Views: 6327

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 ...
Tue Jan 30, 2018 12:11 am
Topic: Threshold Structural VAR
Replies: 113
Views: 19977

### Re: Threshold Structural VAR

The sample size is very short. Try to reduce the lag number. For example reduce the lag to 2.
Mon Jan 29, 2018 4:30 am
Replies: 2
Views: 113

Thanks for the good point. I will try to include the thin option soon.
Tue Jan 23, 2018 5:17 pm
Forum: Econometric Discussions
Topic: Small Sample Unit Root Tests
Replies: 1
Views: 157

### Re: Small Sample Unit Root Tests

do bayesian analysis.
Tue Jan 16, 2018 3:36 pm
Replies: 12
Views: 628

Hi there,
Please update the add-in. Now it can handle series with NA correctly.
Tue Jan 09, 2018 6:12 pm
Replies: 12
Views: 628

Hi, I fixed the bugs. Please update it.
Mon Jan 08, 2018 6:00 pm
Forum: Estimation
Topic: Unit Root test with two structural breaks
Replies: 6
Views: 5409

### Re: Unit Root test with two structural breaks

It's done. Try the LSunit add-in.
Mon Jan 08, 2018 5:04 pm
Replies: 2
Views: 113