Search found 7 matches

by heer0
Thu Jun 20, 2019 1:08 pm
Forum: Add-in Support
Topic: StatFact
Replies: 2
Views: 2287

Re: StatFact

Hi guys, I would like to use the statfact add-in in order to determine the appropriate number of factors to be estimated by principal components for a large marco data set. However, after downloading and installing the add-in, no GUI option appears in my EViews menu (version 10, university edition)....
by heer0
Thu Jun 20, 2019 12:56 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 84
Views: 19107

Re: FAVAR add-in

"ROT" means the rotated factors. In order to estimate the factors do the following steps: 1) estimate factors (C) using all variables except FFR (you did this step) 2) estimate slow moving factors (Fs) from the slow moving variables. 3) estimate the regression by OLS : C=b1*Fs + b2*FFR + ...
by heer0
Thu Jun 20, 2019 12:06 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 84
Views: 19107

Re: FAVAR add-in

Would I need to set sn equal to 0.25/std(ffr) if I estimated the FAVAR with non-standardized data? I think you need to set sn equal to 0.25/std(ffr) if you estimated the FAVAR with standardized data . Hi dakila, thanks so much for your quick response. Just to make sure we mean the same thing: when ...
by heer0
Mon May 13, 2019 2:55 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 84
Views: 19107

Re: FAVAR add-in

Would I need to set sn equal to 0.25/std(ffr) if I estimated the FAVAR with non-standardized data? I think you need to set sn equal to 0.25/std(ffr) if you estimated the FAVAR with standardized data. I would also like to know if the "favar" command allows for the inclusion of a constant a...
by heer0
Wed May 08, 2019 7:29 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 84
Views: 19107

Re: FAVAR add-in

Yes, it is right. Use scale (1 or 0) and sn (scale number) command. For example, favar(factor=3,horizon=60,rep=1000,ci=0.9,vd=1, scale=1, sn=0.25) 13 xdata xslow xir tcode yx_name @ ffr That's great thanks so much. Quick follow-up question: in your reply, you set the scaling factor to 0.25, which I...
by heer0
Mon May 06, 2019 4:53 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 84
Views: 19107

Re: FAVAR add-in

Generally It will depend on the time horizons. That case the variance decomposition converged quickly the long run value. Dear dakila, thanks so much for your timely reply. So in other words, given a different data set, we may very well observe a difference between the fraction of the variance of t...
by heer0
Sun May 05, 2019 2:03 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 84
Views: 19107

Re: FAVAR add-in

No. All interpretations are in std. its does not matter whether the horizon is 48 or 60. The result is the same. Thank you so much for sharing the FAVAR add-in. Given the replication file for Bernanke et al. (2005), it is by far the most intuitive package for FAVAR analysis I have encountered so fa...

Go to advanced search