Search found 7 matches

by jwojnilower
Thu Jan 12, 2017 1:55 pm
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 123
Views: 35578

Re: Threshold Structural VAR

Thank you. A couple other questions (at the moment): 1) In calculating the IRFs, does the standard deviation of a shock reflect the standard deviation of a variable during that particular regime or its standard deviation over the entire sample? 2) Is it possible to compare the information criteria o...
by jwojnilower
Tue Jan 10, 2017 8:28 am
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 123
Views: 35578

Re: Threshold Structural VAR

I had not yet updated the Add-in, so thank you for the suggestion.

What syntax should we use in the command line to estimate cumulative generalized impulse functions? Previously it was girf=1. Is it not cgirf=1? Or something else?

Thanks again!
by jwojnilower
Mon Jan 09, 2017 11:34 am
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 123
Views: 35578

Re: Threshold Structural VAR

Hi,

Could you verify if the GIRF function in the ThSVAR add-in displays cumulative generalized impulse response functions or not? If not, is there a way to export the underlying values to Excel?

Thanks
by jwojnilower
Thu Aug 11, 2016 6:36 am
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 123
Views: 35578

Re: Threshold Structural VAR

I have a question regarding how the threshold variable is calculated... As an example, I have monthly data on credit spreads from 1919m1 through 1941m12. For the threshold variable I'd like to use the moving average of the credit spread with a length of 6. If I set the sample from 1919m6 through 194...
by jwojnilower
Mon Jul 18, 2016 10:28 am
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 123
Views: 35578

Re: Threshold Structural VAR

No worries.

A couple other quick questions though...

1) Does the moving average include the current period or only previous periods?

2) How should we cite your program?
by jwojnilower
Fri Jul 15, 2016 8:24 am
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 123
Views: 35578

Re: Threshold Structural VAR

Thank you for the suggestions! I made the recommended changes and the program is now working. For my current research it also might be useful to try and create figures similar to Figures 3 and 4 in the Balke (2000) paper. Do you have any suggestions for determining the probability of a regime change...
by jwojnilower
Thu Jul 14, 2016 1:23 pm
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 123
Views: 35578

Re: Threshold Structural VAR

Hello, While trying to run the THSVAR program I received the following error message: "Invalid (or out of range) coefficient or matrix index 0." I'm trying to run a VAR with the following five variables: rgdp_growth, inflation, fedfunds, baa_gs10, and assetsgr. The threshold variable is ba...

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