Hi dakila,
How could I use information criteria of Bai&Ng(2002) to determine the number of factors?
I would greatly appreciate if you could help me!
Search found 6 matches
- Wed Mar 27, 2019 9:34 am
- Forum: Add-in Support
- Topic: FAVAR add-in
- Replies: 107
- Views: 5980136
- Wed Mar 27, 2019 8:19 am
- Forum: Add-in Support
- Topic: FAVAR add-in
- Replies: 107
- Views: 5980136
Re: FAVAR add-in
dakila wrote:Hi Briskair,
The favar add-in is updated. Now it includes the optional impulse variable. For example,Code: Select all
favar(factor=3,horizon=48,rep=1000,ci=0.9,impulse=ffr) 13 xdata xslow xir tcode yx_name @ ffr
Thank you so much for your update!
- Fri Mar 08, 2019 5:19 am
- Forum: Add-in Support
- Topic: FAVAR add-in
- Replies: 107
- Views: 5980136
Re: FAVAR add-in
Hi dakila, If I set "xslow" equal to "xdata" in the FAVAR add-in, does it mean that I extract principal components from the whole information set "xdata" without distinguish fast-moving variables and slow-moving variables? (xdata:group of X variables; xslow:group of slo...
- Mon Mar 04, 2019 9:53 pm
- Forum: Add-in Support
- Topic: FAVAR add-in
- Replies: 107
- Views: 5980136
Re: FAVAR add-in
Thank you very much for your help. I look forward to the update!
- Sun Mar 03, 2019 7:49 pm
- Forum: Add-in Support
- Topic: FAVAR add-in
- Replies: 107
- Views: 5980136
Re: FAVAR add-in
No problem, you can add more than one observable variable. For example, favar(factor=3,horizon=48,rep=1000,ci=0.9,save=1,vd=1) 13 xdata xslow xir tcode yx_name @ ip cpi ffr Hi dakila, Thank you for your response! I tried to include 2 observable variables. But I only got an IRF figure and a variance...
- Fri Mar 01, 2019 6:39 am
- Forum: Add-in Support
- Topic: FAVAR add-in
- Replies: 107
- Views: 5980136
Re: FAVAR add-in
Hi dakila, Thank you so much for your add-in! Is it possible to add more than one observable variable in the FAVAR add-in? For example: There are two observable variables- Y1 and Y2. I try to obtain ① IRFs between Y1 and Y2, ②IRFs of some variables in X in response to Y1, ③IRFs of some variables in ...