Search found 6 matches

by briskair
Wed Mar 27, 2019 9:34 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 93
Views: 23469

Re: FAVAR add-in

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!
by briskair
Wed Mar 27, 2019 8:19 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 93
Views: 23469

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!
by briskair
Fri Mar 08, 2019 5:19 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 93
Views: 23469

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...
by briskair
Mon Mar 04, 2019 9:53 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 93
Views: 23469

Re: FAVAR add-in

Thank you very much for your help. :D I look forward to the update!
by briskair
Sun Mar 03, 2019 7:49 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 93
Views: 23469

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...
by briskair
Fri Mar 01, 2019 6:39 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 93
Views: 23469

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 ...

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