Search found 5 matches

by a.rachmasyaputri
Thu Feb 11, 2021 10:00 pm
Forum: Add-in Support
Topic: Diebold-Yilmaz index
Replies: 70
Views: 241118

Re: Diebold-Yilmaz index

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. Hai Dakila, I use eviews 11 to calculate dyindex. But I can't save the pairwise spillover, the information is : error 14 encrypted. How to ...
by a.rachmasyaputri
Mon Feb 08, 2021 9:22 pm
Forum: Add-in Support
Topic: Diebold-Yilmaz index
Replies: 70
Views: 241118

Re: Diebold-Yilmaz index

Hi, i have applied Diebold model in Eview9 to check return spillover among five return series ( daily data, around 3000 observation). I have some queries 1. Endogenous variable should be stationary? 2. On the basis of lag length criteria, appropriate lag is 1 (SC) and 4( AIC, HQ). When in run Diebo...
by a.rachmasyaputri
Mon Feb 08, 2021 9:20 pm
Forum: Add-in Support
Topic: Diebold-Yilmaz index
Replies: 70
Views: 241118

Re: Diebold-Yilmaz index

dakila wrote:Hi,

You are right. You already did it manually. That is only possible way to get the net spillover index. I will update it sometimes later.


Hi dakila, have you done to get net spillover index?
by a.rachmasyaputri
Sun Feb 07, 2021 7:37 am
Forum: Programming
Topic: Rolling Regression with a VAR
Replies: 4
Views: 6382

Re: Rolling Regression with a VAR

Hai All,

I have data from government bond yield. I try to build spillover index with VAR Variance Decomposition dan spillover plot with rolling-sample analysis. Can you explain how to run VAR Variance Decomposition with rolling regression.

Best Regards,
by a.rachmasyaputri
Sun Dec 20, 2020 5:19 am
Forum: Econometric Discussions
Topic: Principal Component Analysis
Replies: 0
Views: 10254

Principal Component Analysis

Hai All members, I need some help how to make a indexes from Principal Analysis Tools. I try step-by-step ini Eviews user guide how to run a Principal Componen analysis. First I made a group consist of 10-yield countries of government bond. Then I run with view+principal component, then I can find e...

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