Search found 39 matches

by nasa
Fri Sep 08, 2017 12:26 am
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 94
Views: 13495

Re: Threshold Structural VAR

Hi,

I think that the thsvar will be very useful add in for econometricians if it can include confidence intervals based on Monte Carlo simulations for the GIRFs. It could help them to better interpret the results.

Best
by nasa
Sun Aug 20, 2017 2:14 am
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 94
Views: 13495

Re: Threshold Structural VAR

ok,

may be the formula is wrong or what is my wrong here is then?

plus can i get the impulses result in table form,please?

Best.
by nasa
Sun Aug 20, 2017 12:47 am
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 94
Views: 13495

Re: Threshold Structural VAR

Hi, Here is my work file and I think based on the formula, the following is the result.Is that right,please? The endogenous variables are: dgdp,dspending,dtax and the threshold variable and response variable is dgdp and the lag length for the VAR is 2. Degrees of freedom=N-1. b = 0.15*(2014q2-1960q1...
by nasa
Sat Aug 19, 2017 7:02 am
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 94
Views: 13495

Re: Threshold Structural VAR

Hi,

What is the degree of freedom adjustment? The default value in the dialog box is 0.Can I simply estimate my threshold SVAR model as in the default value with out modification to the degree of freedom,please? What would be the implication of this for my thsvar model?

Best ,
by nasa
Wed Aug 16, 2017 12:52 am
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 94
Views: 13495

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: 6429

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: 6429

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: 94
Views: 13495

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: 6429

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: 6429

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: 6429

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: 6429

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: 6429

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: 6429

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: 6429

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.

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