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by dakila
Mon Mar 21, 2016 5:47 am
Forum: Econometric Discussions
Topic: How many observations do I need?
Replies: 3
Views: 1431

Re: How many observations do I need?

Hi Sam,

You need to convert the quarterly data into the monthly.
by dakila
Sun Mar 06, 2016 7:34 am
Forum: Add-in Support
Topic: Time varying SVAR
Replies: 111
Views: 44296

Re: Time varying SVAR

Sorry, I don't know.
by dakila
Fri Mar 04, 2016 10:28 pm
Forum: Add-in Support
Topic: Time varying SVAR
Replies: 111
Views: 44296

Re: Time varying SVAR

1. Why did you use randomly generated data?. There is an example data in the tvsvar folder if you want to test this add-in. I don't know why you getting this error. I guess this is because of your computer. 2. The tvsvar estimates time varying structural VARs. So you can get impulse response functio...
by dakila
Wed Mar 02, 2016 2:48 pm
Forum: Add-in Support
Topic: Time varying SVAR
Replies: 111
Views: 44296

Time varying SVAR

This thread is about the tvsvar add-in that estimates time varying structural VARs.
by dakila
Fri Feb 12, 2016 6:03 am
Forum: Add-in Support
Topic: Sign Restricted VAR
Replies: 30
Views: 19807

Re: Sign Restricted VAR

Did you read the instruction carefully?
by dakila
Tue Feb 09, 2016 4:47 am
Forum: Add-in Support
Topic: Sign Restricted VAR
Replies: 30
Views: 19807

Re: Sign Restricted VAR

Hi kkotarac, Thanks for your comment. Actually it is good point. To ensure orthogonality of structural shocks, some people suggest to use QR decomposition for a rejection method. However I couldn't find the difference. So for identification of multiple shocks, just do it again for other shocks. For ...
by dakila
Mon Feb 01, 2016 2:22 am
Forum: Add-in Support
Topic: Favar QUESTION
Replies: 42
Views: 15218

Re: Favar QUESTION

Could you post the file?
by dakila
Sun Jan 31, 2016 7:43 pm
Forum: Add-in Support
Topic: Favar QUESTION
Replies: 42
Views: 15218

Re: Favar QUESTION

There is example file (favar_ex.prg) and instruction pdf file in the FAVAR add-in folder.
by dakila
Wed Jan 27, 2016 7:44 pm
Forum: Econometric Discussions
Topic: how do I interpret this Johansen test output?
Replies: 1
Views: 1099

Re: how do I interpret this Johansen test output?

Maybe your 2 variables are stationary. first do the unit root test.
by dakila
Thu Jan 21, 2016 6:26 pm
Forum: Add-in Support
Topic: Sign Restricted VAR
Replies: 30
Views: 19807

Sign Restricted VAR

This thread is about the srvar add-in that performs the estimation of Sign Restricted Vector Autoregression (SRVAR) models by using rejection and penalty function methods (Uhlig 2005).
by dakila
Mon Dec 28, 2015 6:39 pm
Forum: Add-in Support
Topic: FAVAR add-in
Replies: 98
Views: 25039

Re: FAVAR add-in

thanks Charlie for your comment.
Please download Bayesian FAVAR package from EViews Add-In page (http://www.eviews.com/Addins/addins.shtml)
by dakila
Mon Dec 28, 2015 6:36 pm
Forum: Programming
Topic: Factor Augmented VAR Analysis
Replies: 14
Views: 19069

Re: Factor Augmented VAR Analysis

Please download Bayesian FAVAR package from EViews Add-In page (http://www.eviews.com/Addins/addins.shtml)
by dakila
Fri Dec 11, 2015 6:14 am
Forum: Programming
Topic: Factor Augmented VAR Analysis
Replies: 14
Views: 19069

Re: Factor Augmented VAR Analysis

There is example file (favar_ex.prg) in the FAVAR add-in folder which replicates figure 2 of Bernanke, Boivin and Eliatsz (2005).
by dakila
Sun Dec 06, 2015 12:45 am
Forum: Programming
Topic: Making Time Series Data Stationary
Replies: 4
Views: 3061

Re: Making Time Series Data Stationary

For example, Perron (1989) showed that failure to allow for an existing break leads to a bias that reduces the ability to reject a false unit root null hypothesis.

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