Search found 7 matches

by uurak
Sun Apr 14, 2019 4:13 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 84
Views: 19129

Re: FAVAR add-in

Hi dakila; Thank you for your all kindly help. Finally, I want to ask that is it possible to add exogenous variable in the FAVAR model and derive the responses of some observables to change in the exogenous variable? I work with oil price as a dependent variable. And I want to restrict feedback from...
by uurak
Sat Mar 23, 2019 3:56 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 84
Views: 19129

Re: FAVAR add-in

Hi; Thanks for the very useful add-in. I want to ask related to impulses responses. I try to analyze oil effects on the economy. But, responses of the factor series to oil vary according to the method which is used. Generalized IR has significantly different results. Which of them do you suggest to ...
by uurak
Thu Nov 29, 2018 12:05 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 84
Views: 19129

Re: FAVAR add-in

Hi Dakila;

Thank you for the quick response. But where exactly can I find the loadings? I try to classify the factors but I did not find that which factor is affected by which variable. Thanks.
by uurak
Wed Nov 28, 2018 12:07 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 84
Views: 19129

Re: FAVAR add-in

Hello;

Is it possible to see factor loadings or where can be found? And is it possible to estimate VAR with dummy variables or exogenous variables?

Thanks..
by uurak
Thu Aug 09, 2018 5:40 am
Forum: Estimation
Topic: Bai and Ng(2002) Test
Replies: 0
Views: 1850

Bai and Ng(2002) Test

Hi; To determine the number of factors in FAVAR estimation, one way is to implement Bai & Ng (2002) test. But, is there any way or code to run the test in Eviews or in other software? I found this code in the internet, but I'm not sure because he emphasizes panel data in the description below: &...
by uurak
Mon Aug 06, 2018 11:48 am
Forum: Estimation
Topic: FAVAR model estimation
Replies: 2
Views: 1834

Re: FAVAR model estimation

Hi; I'm sorry for dumb question but I've needed some clearance. To determine the number of factors, there are two ways, if I'm not wrong. Principal component analysis and Nai&Bg (2002) test. However, is it possible to run Bai&Ng test in Eviews, or in any other programme? I've found this code...
by uurak
Tue Dec 12, 2017 9:26 am
Forum: Estimation
Topic: SVAR System FIML Estimation do not Produce St.Err.
Replies: 0
Views: 541

SVAR System FIML Estimation do not Produce St.Err.

Hi; I need some help with SVAR. I have 6 variables in reduced form SVAR. 2 of them are international variables and have not effect on other 4 variables. I write a program code for estimation and irfs. But when I estimate this system with FIML (Full Information Maximum Likelihood) estimator, it can b...

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