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by dakila
Thu Nov 07, 2019 7:44 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 98
Views: 25168

Re: FAVAR add-in

If lambda_y equal to zero for the slow-moving variables then you will miss not just the impact period but all period effects of FFR (federal funds rate). That does not make sense.
by dakila
Sat Nov 02, 2019 10:39 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 98
Views: 25168

Re: FAVAR add-in

Hi Markus, The loadings matrix is supposed to have zeros in the 4th column for all slow moving variables as there is no contemporaneous effect of the policy rate shock on those variables. I think that assumption is questionable. The slow and fast moving variables matter for the factor rotation not f...
by dakila
Fri Oct 18, 2019 12:34 am
Forum: Add-in Support
Topic: Quantile on Quantile regression & VAR for VAR model
Replies: 2
Views: 520

Re: Quantile on Quantile regression & VAR for VAR model

Could you post the reference paper?
by dakila
Tue Oct 08, 2019 6:43 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 98
Views: 25168

Re: FAVAR add-in

Hi Markus, Here the slow and fast variables matter for recovering common components, F other than R. In order to estimate common components F, we removes direct dependences of C(F,R) on R: 1. Estimate principal components, C(F, R) from entire dataset 2. Estimate C(F*) extracting principal components...
by dakila
Wed Sep 11, 2019 5:50 pm
Forum: Add-in Support
Topic: ARW add-in
Replies: 0
Views: 507

ARW add-in

This thread is about the ARW add-in that implements Arias, Rubio-Ramirez and Waggoner algorithm for sign and zero restricted VARs.
by dakila
Wed Sep 11, 2019 12:04 am
Forum: Add-in Support
Topic: Kilian add-in
Replies: 4
Views: 1109

Re: Kilian add-in

The bug is fixed. I hope the moderator will upload the add-in soon.
by dakila
Mon Sep 09, 2019 8:31 am
Forum: Add-in Support
Topic: LSunit add-in
Replies: 10
Views: 3180

Re: LSunit add-in

Could you post the data?
by dakila
Sat Jun 22, 2019 1:21 am
Forum: Add-in Support
Topic: Diebold-Yilmaz index
Replies: 43
Views: 33869

Re: Diebold-Yilmaz index

When estimate the DY index just tick the save pairwise spillovers. After that do it manually get the net pairwise connectedness.
by dakila
Tue Jun 11, 2019 5:45 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 98
Views: 25168

Re: FAVAR add-in

1. Is it possible to forecast individual series used to build factors? (not just factors themselves) Yes . this question was answered before Is it possible to draw factors from multiple datasets? Let's say I have sets X1 and X2 composed of different data series and I would like to use the first pri...
by dakila
Tue Jun 11, 2019 3:09 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 98
Views: 25168

Re: FAVAR add-in

1. Is it possible to forecast individual series used to build factors? (not just factors themselves) Yes . this question is answered before Is it possible to draw factors from multiple datasets? Let's say I have sets X1 and X2 composed of different data series and I would like to use the first prin...
by dakila
Tue May 28, 2019 3:21 pm
Forum: Add-in Support
Topic: Kilian add-in
Replies: 4
Views: 1109

Kilian add-in

This thread is about the kilian add-in that that implements the Kilian bias-adjusted bootstrap for VAR impulse response.
by dakila
Thu May 16, 2019 6:15 pm
Forum: Add-in Support
Topic: Diebold-Yilmaz index
Replies: 43
Views: 33869

Re: Diebold-Yilmaz index

The bug is fixed. Please update the add-in. I hope the moderator will post it soon. But carefully choose the rolling window parameter. It should not exceed the sample size.
by dakila
Tue May 14, 2019 11:30 pm
Forum: Add-in Support
Topic: Diebold-Yilmaz index
Replies: 43
Views: 33869

Re: Diebold-Yilmaz index

Yes, you are right. It does not work for the version 11. I will fix it soon. But it can work for the version 10 if you have access to it.
by dakila
Tue May 14, 2019 4:40 pm
Forum: Add-in Support
Topic: Diebold-Yilmaz index
Replies: 43
Views: 33869

Re: Diebold-Yilmaz index

What is your eviews version?
by dakila
Sat May 11, 2019 3:45 am
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 98
Views: 25168

Re: FAVAR add-in

Would I need to set sn equal to 0.25/std(ffr) if I estimated the FAVAR with non-standardized data? I think you need to set sn equal to 0.25/std(ffr) if you estimated the FAVAR with standardized data. I would also like to know if the "favar" command allows for the inclusion of a constant a...

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