Search found 3 matches
- Fri Jan 08, 2016 12:30 pm
- Forum: Estimation
- Topic: VEC stability condition check
- Replies: 3
- Views: 7270
Re: VEC stability condition check
Hi everybody I will give you one example for one long-run relationship (one cointegrating vector): just recover the error term derived from the long run equation, replicate the same VECM results meaning that you have to include the lagged residual as an exogenous variable: If there is stability cond...
- Tue Jul 16, 2013 4:12 pm
- Forum: Estimation
- Topic: Retrieve structural shocks from SVAR
- Replies: 2
- Views: 4041
Re: Retrieve structural shocks from SVAR
Hi!! You have two options...eventhough with some extra calculus....: 1) get the inverse process using the matrix A and B that appears at the end of the structural factorization (Eviews report), 2) using the coeficcients of the structural factorization and the residual estimates in order to find the ...
- Fri Jun 21, 2013 5:37 pm
- Forum: Estimation
- Topic: Confidence bands for Impulse Function SVAR
- Replies: 0
- Views: 1810
Confidence bands for Impulse Function SVAR
Hi:
I have a question, I want to estimate the confidence bands for impulse-response functions using SVAR modelling. The problem is that Eviews cannot do it. what can i do?
How can i estimate the bands?
Thanks.
I have a question, I want to estimate the confidence bands for impulse-response functions using SVAR modelling. The problem is that Eviews cannot do it. what can i do?
How can i estimate the bands?
Thanks.