Search found 13 matches

by paolo.zanghieri
Thu Feb 28, 2019 2:30 am
Forum: Data Manipulation
Topic: Kernel Density Series Transformation
Replies: 2
Views: 1174

Re: Kernel Density Series Transformation

I have a similar problem. I want to rescale a series in the [0,1] interval using the percentiles of the kernel distribution. I guess I can do that with a long series of if, then else commands, but I wonder whether there is a quicker and more sensible way to do it. Thanks
by paolo.zanghieri
Thu Feb 21, 2019 5:36 am
Forum: General Information and Tips and Tricks
Topic: Growth at risk
Replies: 0
Views: 185

Growth at risk

Good morning, I am trying to replicate the approach used by the IMF to project the distribution of GDP growth a few quarters ahead. It entails 1/ running quantile regressions (at the 5th 25th 50th 75th and 95th %ile ) of GDP growth on a lag and an index of financial conditions 2/ make a forecast of ...
by paolo.zanghieri
Tue May 08, 2018 1:58 am
Forum: Add-in Support
Topic: Diebold-Yilmaz index
Replies: 36
Views: 29089

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: 36
Views: 29089

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: 1
Views: 6122

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: 2296

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: 2106

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: 10008

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: 10008

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: 10008

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: 1018

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: 1018

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: 2670

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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