Search found 11 matches

by paolo.zanghieri
Tue May 08, 2018 1:58 am
Forum: Add-in Support
Topic: Diebold-Yilmaz index
Replies: 9
Views: 1310

Re: Diebold-Yilmaz index

thanks a lot. Just a final clarification. the series pc_i_J must be interpreded as share of unit i's variability due to j? Moreover each column in the fromvar (tovar) matric is the chare of variance due to (contributing to) other units, right? thanks again
by paolo.zanghieri
Mon Apr 30, 2018 1:29 am
Forum: Add-in Support
Topic: Diebold-Yilmaz index
Replies: 9
Views: 1310

Re: Diebold-Yilmaz index

Great. Very useful add in. Is there a way to recover the time series of the pairwise interconnection measures?
Thanks
by paolo.zanghieri
Tue Apr 24, 2018 7:13 am
Forum: Estimation
Topic: HLW Rstar estimates
Replies: 0
Views: 256

HLW Rstar estimates

Hello, I am trying to replicate the Hoston, Laubach & Williams model. I followed the procedure outlined in the paper (WP version attached), initializing with the values they estimated (see .xls attached). I get sensible results for the autoregressive parameteres but much lower ones for those lin...
by paolo.zanghieri
Wed Aug 02, 2017 7:18 am
Forum: Models
Topic: write protected scenario
Replies: 1
Views: 1206

write protected scenario

Hi, I am trying to run a simple scenario with the following lines mod_inflation.scenario(a=_fa) "Baseline" mod_inflation.override unr efx smpl 2017Q3 2018Q4 mod_inflation.solve I always get an error message saying that the scenario I've just created is write protected. Could you advise? Th...
by paolo.zanghieri
Mon Apr 10, 2017 5:15 am
Forum: Econometric Discussions
Topic: Set up of FRB/US model
Replies: 2
Views: 1800

Re: Set up of FRB/US model

Hi, I normally use the FRB_US model in Eviews but I am stuck with the new version. Following the readme.txt I exctracted the read_xml add in, which is saved in the \add in folder, but when I try to create the aaa.wf1, for example by exectuting the example1.prg, the program stops at the line below ' ...
by paolo.zanghieri
Thu Apr 06, 2017 1:49 am
Forum: Add-in Support
Topic: Conditional VAR forecast
Replies: 19
Views: 6846

Re: Conditional VAR forecast

Thanks a lot. If I understand correctly I can fix just one variable, right?
Best
Paolo
by paolo.zanghieri
Tue Apr 04, 2017 4:09 am
Forum: Add-in Support
Topic: Conditional VAR forecast
Replies: 19
Views: 6846

Re: Conditional VAR forecast

Sure,
here it is.
Thanks a lot
by paolo.zanghieri
Thu Mar 30, 2017 7:22 am
Forum: Add-in Support
Topic: Conditional VAR forecast
Replies: 19
Views: 6846

Re: Conditional VAR forecast

Hello, I have two problems with the add in: 1) I first tried to use it via the menu and, even though I constrain just one variable for one quarter I get an error message saying that "Matrix-Vector index is out of range" moreover, I get the forecast charts even though I did not ask for them...
by paolo.zanghieri
Wed Aug 10, 2016 5:05 am
Forum: Estimation
Topic: BVAR grid search
Replies: 2
Views: 748

Re: BVAR grid search

It works. Thanks a lot.
by paolo.zanghieri
Wed Aug 10, 2016 2:39 am
Forum: Estimation
Topic: BVAR grid search
Replies: 2
Views: 748

BVAR grid search

Good morning, I am trying to estimate a medium size BVAR to forecast a few US variables, using the Sims Zha Normal-Wishart priors. Ad far as I understand the best way to get the hyperpatameters “right” is to run a grid search, finding the combination that maximises the posterior marginal log-likelih...
by paolo.zanghieri
Mon Jul 13, 2015 6:03 am
Forum: Estimation
Topic: Forecasting with Markov-Switching model
Replies: 7
Views: 2188

Re: Forecasting with Markov-Switching model

Hi,
I have the same problem. I use the Aug 29th 2014 version and when I try to update it I just got an error message. Any clue?
thanks

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