Search found 385 matches

Mon Jun 20, 2016 4:00 am
Forum: Econometric Discussions
Topic: Interpreting impulse response functions: Std dev or % ?
Replies: 19
Views: 20364

Re: Interpreting impulse response functions: Std dev or % ?

Mon Jun 20, 2016 3:53 am
Forum: Estimation
Topic: Output Problem: User Specified Impulse Responses in SVAR
Replies: 7
Views: 3677

Re: Output Problem: User Specified Impulse Responses in SVAR

Sun Jun 19, 2016 1:03 am
Topic: Threshold Structural VAR
Replies: 126
Views: 62193

Re: Threshold Structural VAR

You should select your variables carefully.
For panel data, it won't work.
Fri Jun 17, 2016 4:07 am
Forum: Econometric Discussions
Topic: What do the asterisks signify?
Replies: 2
Views: 1335

Re: What do the asterisks signify?

It says equation 8 is transition equation, more specifically equation 8 is in VAR(1) form. In contrast, equation 5 and 6 are AR(p) and VAR(k) respectively. In order to estimate unobservable variable C(t) and u(t), we need transform equation 5 and 6 into VAR(1) form. Otherwise we can't use Kalman fil...
Wed Jun 15, 2016 1:37 am
Forum: Estimation
Topic: Autocorrelation in VAR model
Replies: 4
Views: 1818

Re: Autocorrelation in VAR model

Could you describe the data more detail? Is it monthly or daily data?
Tue Jun 14, 2016 3:40 pm
Forum: Estimation
Topic: Autocorrelation in VAR model
Replies: 4
Views: 1818

Re: Autocorrelation in VAR model

Did you seasonally adjust the data?
Sun Jun 12, 2016 5:42 pm
Forum: Econometric Discussions
Topic: Model Selection: VAR Model with Impulse response functions
Replies: 1
Views: 1371

Re: Model Selection: VAR Model with Impulse response functio

Maybe you need Threshold structural VAR model. You can use the thsvar add-in.
Sun Jun 12, 2016 5:39 pm
Forum: Econometric Discussions
Topic: Master thesis finance, can eviews help me ?
Replies: 1
Views: 1171

Re: Master thesis finance, can eviews help me ?

I think you need to buy Eviews. You can buy the cheap verison (student). I advise you to contact with Mr. Trubador by private message.
Sun Jun 12, 2016 5:29 pm
Forum: Econometric Discussions
Topic: Determine the relationship between two variables
Replies: 4
Views: 1958

Re: Determine the relationship between two variables

First, you need to consider VAR model. Then identify exchange rate and oil shocks. The impulse response function will give you the answer.
Sat Jun 11, 2016 4:51 am
Topic: Sign Restricted VAR
Replies: 32
Views: 25650

Re: Sign Restricted VAR

No
Sat Jun 04, 2016 11:26 pm
Topic: LOCALIRFS
Replies: 3
Views: 6209

Re: LOCALIRFS

Good job. Thank you very much, Erin for the very useful, interesting add-in.
Tue May 31, 2016 2:50 am
Topic: Threshold Structural VAR
Replies: 126
Views: 62193

Re: Threshold Structural VAR

the default values - number of bootstrap = 50 - number of horizons = 20 if data is quarterly (60 if data is monthly) - length of moving average = 2 - delay parameter = 1 - fraction of buffer period = 0.15 - degrees of freedom adjustment = 0 - sample size = the workfile size - generalized impulse res...
Thu May 12, 2016 5:49 pm
Forum: Programming
Topic: Coefficient Stability
Replies: 2
Views: 1178

Re: Coefficient Stability

Do you mean recursive estimation of coefficient (rolling regression)? If so, there is the rolling regression add-in.
Mon May 09, 2016 9:29 pm
Forum: Econometric Discussions
Topic: GMM and selecting best model
Replies: 2
Views: 1784

Re: GMM and selecting best model

Mon May 09, 2016 9:18 pm
Forum: Econometric Discussions
Topic: J stat problem in eviews 8
Replies: 1
Views: 1149