Search found 5 matches
- Wed Sep 13, 2017 4:12 pm
- Forum: Estimation
- Topic: implement Generalized IRF from system object (VAR estimated with GMM)
- Replies: 5
- Views: 5125
Re: implement Generalized IRF from system object (VAR estimated with GMM)
First, estimate GIRF using eviews built-in command or dialog box. Then use the sirf add-in. Thank you so much! But........after I tried yesterday.... 1. The graph seems not correct.. what should I put in the field of scale factor for IRF? No understanding about this.. 2. When I impulse two variable...
- Tue Sep 12, 2017 3:56 pm
- Forum: Econometric Discussions
- Topic: LM test interpretation in VAR - a joint hypotheses test?
- Replies: 0
- Views: 2061
LM test interpretation in VAR - a joint hypotheses test?
Hi, there This question is about how to interpret LM test in VAR . For example, under VAR with lag 1, Lags LM-Stat Prob 1 34.73090 0.0043 2 21.76811 0.1508 Oh! auto-correlation in lag 1! So, I rerun VAR with 1 more lag. Then the result of LM test under VAR with 2 lags is Lags LM-Stat Prob 1 31.37932...
- Tue Sep 12, 2017 3:34 pm
- Forum: Estimation
- Topic: implement Generalized IRF from system object (VAR estimated with GMM)
- Replies: 5
- Views: 5125
Re: implement Generalized IRF from system object (VAR estimated with GMM)
2. Is there a way in EViews to implement a ONE UNIT shock of generalized impulse response function? EViews is giving one-standard deviation shock for generalized impulse response function, according to my knowledge. Try the sirf add-in. Thanks. Actually I tried before and I had two problems. 1. how...
- Tue Sep 12, 2017 3:34 pm
- Forum: Estimation
- Topic: implement Generalized IRF from system object (VAR estimated with GMM)
- Replies: 5
- Views: 5125
Re: implement Generalized IRF from system object (VAR estimated with GMM)
Try the sirf add-in.[/quote]
Thanks. Actually I tried before and I had two problems.
1. how to make the shock as the generalized IRF in this add-in?
2. Seems this add-in doesn't provide Monte Carlo standard error, which I need.
Could you please provide further guidance?
Thanks. Actually I tried before and I had two problems.
1. how to make the shock as the generalized IRF in this add-in?
2. Seems this add-in doesn't provide Monte Carlo standard error, which I need.
Could you please provide further guidance?
- Mon Sep 11, 2017 8:50 pm
- Forum: Estimation
- Topic: implement Generalized IRF from system object (VAR estimated with GMM)
- Replies: 5
- Views: 5125
implement Generalized IRF from system object (VAR estimated with GMM)
Hi, there, Two questions actually. 1. For EViews 9 enterprise version, is there a way to simulate generalized impulse response function from system object? The reason I want to do this is because I hope to use GMM to estimate my VAR, the only way I can do is to estimate from system object. But after...