Search found 5 matches

by yunqingMa
Wed Sep 13, 2017 4:12 pm
Forum: Estimation
Topic: implement Generalized IRF from system object (VAR estimated with GMM)
Replies: 5
Views: 366

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...
by yunqingMa
Tue Sep 12, 2017 3:56 pm
Forum: Econometric Discussions
Topic: LM test interpretation in VAR - a joint hypotheses test?
Replies: 0
Views: 198

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...
by yunqingMa
Tue Sep 12, 2017 3:34 pm
Forum: Estimation
Topic: implement Generalized IRF from system object (VAR estimated with GMM)
Replies: 5
Views: 366

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...
by yunqingMa
Tue Sep 12, 2017 3:34 pm
Forum: Estimation
Topic: implement Generalized IRF from system object (VAR estimated with GMM)
Replies: 5
Views: 366

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?
by yunqingMa
Mon Sep 11, 2017 8:50 pm
Forum: Estimation
Topic: implement Generalized IRF from system object (VAR estimated with GMM)
Replies: 5
Views: 366

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...

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