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by aleconomista
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...
by aleconomista
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 ...
by aleconomista
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.

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