Search found 12 matches

by Bens
Fri Feb 16, 2018 5:30 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 54
Views: 9729

Re: FAVAR add-in

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?
by Bens
Fri Feb 16, 2018 3:03 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 54
Views: 9729

Re: FAVAR add-in

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
by Bens
Wed Feb 14, 2018 12:55 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 54
Views: 9729

Re: FAVAR add-in

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...
by Bens
Tue Feb 13, 2018 3:35 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 54
Views: 9729

Re: FAVAR add-in

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...
by Bens
Tue Feb 13, 2018 2:00 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 54
Views: 9729

Re: FAVAR add-in

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....
by Bens
Sun Feb 11, 2018 12:55 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 54
Views: 9729

Re: FAVAR add-in

ps. Which horizon did you choose for the forecast error variance decomposition? Bernanke et al. chose 60 month. Did you also do that :)?
by Bens
Sun Feb 11, 2018 12:51 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 54
Views: 9729

Re: FAVAR add-in

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...
by Bens
Sun Feb 11, 2018 2:49 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 54
Views: 9729

Re: FAVAR add-in

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...
by Bens
Wed Feb 07, 2018 7:43 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 54
Views: 9729

Re: FAVAR add-in

You are the best! Thanks for your help and have a good day :)
by Bens
Wed Feb 07, 2018 1:49 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 54
Views: 9729

Re: FAVAR add-in

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...
by Bens
Mon Feb 05, 2018 2:03 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 54
Views: 9729

Re: FAVAR add-in

Hey dakila, thanks for your fast response. Your add-in is great and it saved us a lot of time. Regarding the scaling of the FFR: Thanks the clarification. I didnt know that but intuitively it makes sense now. Regarding the unit root in the ffr: The point is that when using our data (which is an upda...
by Bens
Sun Feb 04, 2018 10:30 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 54
Views: 9729

Re: FAVAR add-in

Hey everyone, I am also using this great add-in to do a favar in eviews. I am trying to update the analyses of Bernanke et al (2005) and I am just wondering if anyone knows, why the program also standardizes the federal funds rate? I get that the variables for the principle component analysis have t...

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