Search found 385 matches

Mon Nov 20, 2017 2:08 pm
Topic: Favar QUESTION
Replies: 42
Views: 20773

Re: Favar QUESTION

Note that the figures report impulse responses in standard deviation units.
Fri Nov 17, 2017 5:52 pm
Topic: BN filter
Replies: 10
Views: 5791

Re: BN filter

Thanks. It's working now.
Fri Nov 17, 2017 4:50 pm
Topic: BN filter
Replies: 10
Views: 5791

Re: BN filter

Fri Nov 17, 2017 4:46 pm
Topic: BN filter
Replies: 10
Views: 5791

BN filter

This thread is about the BNFilter add-in that estimates the BN decomposition to impose a low signal-to-noise ratio.
Thu Nov 16, 2017 7:31 am
Topic: Threshold Structural VAR
Replies: 126
Views: 62034

Re: Threshold Structural VAR

No
Fri Oct 20, 2017 5:16 pm
Topic: Threshold Structural VAR
Replies: 126
Views: 62034

Re: Threshold Structural VAR

Hello Edgar,

You can do it easily. For example, first estimate VAR model using the following code or the dialog box:

Code: Select all

`smpl 1960q1 1997q3 if d1=1var var01.ls 1 4 d1gdp d1pgdp fyff cpbill1 `

Then use eviews VAR model test.
Tue Oct 17, 2017 6:30 am
Topic: Large Bayesian VAR
Replies: 36
Views: 14783

Re: Large Bayesian VAR

If you have the missing observations because of the first order difference, then you should adjust the sample size.
Fri Oct 13, 2017 3:13 pm
Topic: Large Bayesian VAR
Replies: 36
Views: 14783

Re: Large Bayesian VAR

You should put the irw vector into the Random walk prior box.
Thu Oct 12, 2017 3:48 pm
Topic: Large Bayesian VAR
Replies: 36
Views: 14783

Re: Large Bayesian VAR

You need to create the vector for Random walk prior box. For example: vector irw=@zeros(10) If fifth variable is non-stationary then irw(5)=1 You manually entered lambda and tau. So you don't need to fit evaluation variables. If you choose grid search then you need the fit evaluation variables. Fit ...
Mon Oct 02, 2017 11:58 pm
Topic: Sign Restricted VAR
Replies: 32
Views: 25570

Re: Sign Restricted VAR

No. You cannot interpret like that. First define the shock by the sign restriction, then interpret impulse response function of Y and X as the effect of that shock.
Mon Sep 25, 2017 3:41 pm
Topic: Dynamic Model Averaging
Replies: 19
Views: 12909

Re: Dynamic Model Averaging

I am confused about what the 4 5 digits mean. 4 is forecast horizon. 5 is transformation code (log difference) for dependent variable. I tried estimating the model using the combo box but I keep getting an error msge: "3 is not a valid index for vector-series-coefficient tcode". I am esti...
Thu Sep 21, 2017 5:22 pm
Topic: Large Bayesian VAR
Replies: 36
Views: 14783

Re: Large Bayesian VAR

can you check your private message?
Tue Sep 12, 2017 5:14 pm
Forum: Estimation
Topic: implement Generalized IRF from system object (VAR estimated with GMM)
Replies: 5
Views: 2002

Re: implement Generalized IRF from system object (VAR estimated with GMM)

First, estimate GIRF using eviews built-in command or dialog box. Then use the sirf add-in.
Tue Sep 12, 2017 6:05 am
Forum: Estimation
Topic: implement Generalized IRF from system object (VAR estimated with GMM)
Replies: 5
Views: 2002

Re: implement Generalized IRF from system object (VAR estimated with GMM)

2. Is there a way in EViews to implement a ONE UNIT shock of generalized impulse response function? EViews is giving one-standard deviation shock for generalized impulse response function, according to my knowledge.