I have calculated spillover index using this add-ins but one thing i am still unable to get is net pairwise connectedness.Can anybody help on this?
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- Thu Jun 13, 2019 12:20 am
- Forum: Add-in Support
- Topic: Diebold-Yilmaz index
- Replies: 39
- Views: 30859
dakila wrote:This thread is about the dyindex add-in that estimates the Diebold-Yilmaz index of spillover using forecast error variance decomposition method of a VAR model.
I am new to this method can anybody help me by telling steps to calculate dyindex?