Search found 4 matches

by EdgarM
Tue Oct 24, 2017 1:09 pm
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 127
Views: 275523

Re: Threshold Structural VAR

Thank you very much Dakila!
by EdgarM
Thu Oct 19, 2017 7:10 am
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 127
Views: 275523

Re: Threshold Structural VAR

Hello, thanks in advance for the add-in it was really usefull. I have a question: When i estimate the TVAR with 3 dependent variables, i got 6 outputs instead of only one. I was replied that if i gather all the information in one matrix it was the same, but when i try to analize for example, serial ...
by EdgarM
Wed Aug 16, 2017 2:29 pm
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 127
Views: 275523

Re: Threshold Structural VAR

Thank you Dakila for your answer.

Is there a way to obtain the VAR estimation for each regime instead of different outputs for each dependent variable?
It will be useful to get the variance/covariance matrix for each regime, also the R-squared of the VAR estimation.

Best regards,
Edgar
by EdgarM
Sun Aug 13, 2017 4:18 pm
Forum: Add-in Support
Topic: Threshold Structural VAR
Replies: 127
Views: 275523

Re: Threshold Structural VAR

Hello, thanks for the useful add-in. Is there a way to calculate a 1 percent shock instead of a 1 standard deviation shock? The problem is that my threshold variable is inflation growth rate, and it's standard deviation is 0.59, so doing a 59% shock is not an useful exercise :P Is the response measu...

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