Search found 35 matches

by nasa
Wed Aug 16, 2017 12:52 am
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 87
Views: 12280

Re: Threshold Structural VAR

Hi,
when i want to run the Add in in eviews 10 demo, it tells me that syntax error.What is that,please?

Best
by nasa
Tue Aug 15, 2017 7:58 am
Forum: Estimation
Topic: Imposing Restrictions on SVAR
Replies: 32
Views: 6188

Re: Imposing Restrictions on SVAR

what about the 2 standard error?
Does it represents the 95 % confidence bands or the 90% or other?
by nasa
Tue Aug 15, 2017 7:31 am
Forum: Estimation
Topic: Imposing Restrictions on SVAR
Replies: 32
Views: 6188

Re: Imposing Restrictions on SVAR

HI,
Are the shocks are 1 SD in eviews 10?

thanks.
by nasa
Sat Aug 12, 2017 7:24 am
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 87
Views: 12280

Re: Threshold Structural VAR

Hi, In the balke paper,it says the threshold value is the one that maximizes the log determinant of the structural residuals.But here ,in the add in ,I read the result as specification that minimizes the log determinant.So,is there any difference between this two points? could you give me a general ...
by nasa
Fri Jul 28, 2017 6:27 am
Forum: Estimation
Topic: Imposing Restrictions on SVAR
Replies: 32
Views: 6188

Re: Imposing Restrictions on SVAR

and one point my SVAR estimated coefficients are the same in all cases when they do converge,so that is a good sign as you said.
by nasa
Fri Jul 28, 2017 6:24 am
Forum: Estimation
Topic: Imposing Restrictions on SVAR
Replies: 32
Views: 6188

Re: Imposing Restrictions on SVAR

Ok I appreciate all your support But I want to send these impulse responses to the referee(as he ordered me to use monte carlo rather than analytic),hence what is your opinion on this matter? I mean what the referee can say regarding the widening monte carlo confidence bands? Do you have any solutio...
by nasa
Thu Jul 27, 2017 7:46 am
Forum: Estimation
Topic: Imposing Restrictions on SVAR
Replies: 32
Views: 6188

Re: Imposing Restrictions on SVAR

One last question,

Is it a problem when confidence bands obtained from monte carlo simulations are getting wider? What does it signifies?

Thanks a lot.
by nasa
Thu Jul 27, 2017 12:45 am
Forum: Estimation
Topic: Imposing Restrictions on SVAR
Replies: 32
Views: 6188

Re: Imposing Restrictions on SVAR

Thank you very much.

I did the VAR restriction,however,sensitivity of the results is still there.Do you have any more solution for this VAR model,please?

Best,
by nasa
Wed Jul 26, 2017 12:46 am
Forum: Estimation
Topic: Imposing Restrictions on SVAR
Replies: 32
Views: 6188

Re: Imposing Restrictions on SVAR

Ok excellent observations But the thing is including spike or shift dummy variable for the interest rate(1998Q2) does not solve the residual autocorrelation problem plus increasing the number of lags to 2 may solve the autocorrelation problem(neglecting dummyb and only incorporating c,@trend and dum...
by nasa
Tue Jul 25, 2017 7:59 am
Forum: Estimation
Topic: Imposing Restrictions on SVAR
Replies: 32
Views: 6188

Re: Imposing Restrictions on SVAR

One last thing,when I change the level specification of the VAR in to a difference specification,I will get a relatively low R2 as in the second equation for the rest five equations and when I use log specification for the interest_rate variable(even though it is in a percent form at level),I will g...
by nasa
Tue Jul 25, 2017 7:02 am
Forum: Estimation
Topic: Imposing Restrictions on SVAR
Replies: 32
Views: 6188

Re: Imposing Restrictions on SVAR

and plus i think such problem of numerical sensitivity is not appearing in the recursive short run impulse responses but in the A and B model.
by nasa
Tue Jul 25, 2017 6:40 am
Forum: Estimation
Topic: Imposing Restrictions on SVAR
Replies: 32
Views: 6188

Re: Imposing Restrictions on SVAR

Thanks for your excellent explanation.

I noticed also similar problem that the interest rate equation is causing the problem.
So, how does that problem emerge and what possible solutions can you suggest for this,please?

Thanks a lot.
by nasa
Sat Jul 22, 2017 3:15 am
Forum: Estimation
Topic: Imposing Restrictions on SVAR
Replies: 32
Views: 6188

Re: Imposing Restrictions on SVAR

Ok, thanks

Is that a problem when the confidence bands(the red line) very close to the upper line in the black box as it can be seen from the attachment? What it indicates us that?

Best,
by nasa
Fri Jul 21, 2017 12:35 am
Forum: Estimation
Topic: Imposing Restrictions on SVAR
Replies: 32
Views: 6188

Re: Imposing Restrictions on SVAR

Ok,thanks

But, what is our base for choosing the starting values from the options ,for example,whether to select the uniform or standard normal or the other options.

Best
by nasa
Thu Jul 20, 2017 4:54 am
Forum: Estimation
Topic: Imposing Restrictions on SVAR
Replies: 32
Views: 6188

Re: Imposing Restrictions on SVAR

and the lag number is 1 .

Go to advanced search