## Search found 12 matches

Fri Feb 16, 2018 5:30 am
Replies: 98
Views: 29621

Hey its me again,

we are struggling with heteroskedasticity in our favar and we know that there are bootstrap meausures which account for that when constructing confidence bands. Could you tell/show us, which bootsstrap measure you applied?
Fri Feb 16, 2018 3:03 am
Replies: 98
Views: 29621

Thanks for sharing parts of your code. So basically you calculated the part the forecast variance of the variable explained by the monetary policy shock relativ to the variance explained by all factors and the monetary policy shock? Thanks for your help and providing an insight into your code

Ben
Wed Feb 14, 2018 12:55 pm
Replies: 98
Views: 29621

hey dakila, I could solve the problem on my own. Apperently this only appears when using eviews 9. In eviews 10 everything works perfectly fine. Another very important question is how you handled the forecast error variance decomposition. I know how it works in standard VAR models but I never did th...
Tue Feb 13, 2018 3:35 am
Replies: 98
Views: 29621

Sorry if I didnt explain it properly. I use eviews 9 and ran your add-in ( I think I havent had this problem when using Eviews 10 in University). I simply updated the dataset and did not change anything. I have two var models in the final output. One is called favar01, one is called favarb01. If I c...
Tue Feb 13, 2018 2:00 am
Replies: 98
Views: 29621

Hey dakila, thanks for your help. I am sorry that I have to ask all those questions, but since I am not able to look into your code (which I totally understand) I have to ask manualy. I am currently performing residual diagnostics on the residuals of the estimated FAVARs called favarb01 and favar01....
Sun Feb 11, 2018 12:55 pm
Replies: 98
Views: 29621

ps. Which horizon did you choose for the forecast error variance decomposition? Bernanke et al. chose 60 month. Did you also do that ?
Sun Feb 11, 2018 12:51 pm
Replies: 98
Views: 29621

Thanks so much for your response. Standard deviation units if all variables are standardized means that a 1 standard deviation increase is also a 1 unit increase? So if the Impulse of a log differentiated variables shows a 0.5 unit increase, does that mean a 0.5 percent increase? :) Sorry for asking...
Sun Feb 11, 2018 2:49 am
Replies: 98
Views: 29621

Hey dakila, am I right to suppose that your great add-in has this feature that it uses accumulated irfs for variables that are log-differentiated and otherwhise it uses the standard irfs? Regarding the interpretation. The units on the axes are standard deviation units or % units? Sorry for asking su...
Wed Feb 07, 2018 7:43 am
Replies: 98
Views: 29621

You are the best! Thanks for your help and have a good day
Wed Feb 07, 2018 1:49 am
Replies: 98
Views: 29621

Hey dakila, thanks so much for your help. And many thanks for the update. The scaling possibility is awesome and also the fact that one can now safe the impulse responses to a matrix. Regarding the add-in I have two questions left. 1) Am I right to suppose that the standard deviation you are referin...
Mon Feb 05, 2018 2:03 am
Replies: 98
Views: 29621