Search found 4 matches

by jason83189
Fri Jul 01, 2016 9:34 pm
Forum: Estimation
Topic: Shock to an exog. variable in a VAR (VARX)
Replies: 4
Views: 7004

Re: Shock to an exog. variable in a VAR (VARX)

Not quite sure what you're trying to do, but if you want to see how the endogenous variables change with a shock to an exogenous variable, the only way to do it is by turning your VAR into a Model, solving the model, then change the value of the exogenous variable and go again. Hi Gareth, Do you kn...
by jason83189
Fri Jul 01, 2016 2:41 am
Forum: Models
Topic: Innovation generation
Replies: 2
Views: 6357

Re: Innovation generation

Hi Glenn, I have a bivariate VARX-MGARCH-MEAN model and try to shock one of my exogenous variables and examine the response of my endogenous variables. I created two equations and merge them into a system. I solved the model and get solutions for both of my endogenous variables. I then create an uni...
by jason83189
Wed Mar 16, 2016 10:21 am
Forum: Models
Topic: Shock from exogenous variable to endogenous variable
Replies: 1
Views: 4918

Re: Shock from exogenous variable to endogenous variable

Can I obtain the standard deviation by double clicking the variable, x1, and click on "descriptive statistics" from VIEW, and obtain the value from "Stats table"? And then generate a new series with same length period as x1 and putting this standard deviation value in the first p...
by jason83189
Wed Mar 16, 2016 10:15 am
Forum: Models
Topic: Shock from exogenous variable to endogenous variable
Replies: 1
Views: 4918

Shock from exogenous variable to endogenous variable

Hello, I am having two equations in my model.(The name of my model is called model01) I would like to run a stochastic simulation and see the response of my endogenous variable (called y1 and y2) from one of the exogenous variable (called x1) if I apply a standard deviation shock to the exogenous va...

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