Search found 391 matches

by dakila
Sun Mar 06, 2016 7:34 am
Forum: Add-in Support
Topic: Time varying SVAR
Replies: 113
Views: 66878

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: 113
Views: 66878

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: 113
Views: 66878

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: 32
Views: 29779

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: 32
Views: 29779

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: 24869

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: 24869

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: 1285

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: 32
Views: 29779

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: 46686

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: 20524

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: 20524

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: 3577

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.
by dakila
Sat Dec 05, 2015 5:55 pm
Forum: Programming
Topic: Making Time Series Data Stationary
Replies: 4
Views: 3577

Re: Making Time Series Data Stationary

1. I think you are right for the difference command. 2. Of course, it will be changed. You just removed the stochastic trend from your data (enrollment). This means your data mean and variance is not time varying (not constant). Difference command explanation: d(enrollment) = enrollment - enrollment...

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