FAVAR add-in

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CharlieEVIEWS
Posts: 210
Joined: Tue Jul 17, 2012 9:47 am

FAVAR add-in

Postby CharlieEVIEWS » Wed Dec 02, 2015 6:35 pm

This seems like a great add-in and is super useful - something that I'm sure lots of central bankers especially will be happy to see! However, the favar.prg is encrypted and its hard to know what the program is actually doing. Can I also suggest that a future version of the program cleans up after itself when errors occur from poorly specified inputs?

dakila
Posts: 192
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Mon Dec 28, 2015 6:39 pm

thanks Charlie for your comment.
Please download Bayesian FAVAR package from EViews Add-In page (http://www.eviews.com/Addins/addins.shtml)

Kiyoshi
Posts: 2
Joined: Mon Oct 10, 2016 4:56 pm

Re: FAVAR add-in

Postby Kiyoshi » Mon Oct 10, 2016 5:06 pm

Hi, I confirm FAVAR add-ins has worked in my PC. It's really useful. However, I would like to modify trhe programm because the add-ins show just only impulse responses, I want to see the predction path. can anyone tell me the details in the programm?

dakila
Posts: 192
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Tue Oct 11, 2016 6:38 am

after the estimation you should use the following command:

Code: Select all

favar01.forecast(prompt)

then you should regress the forecasting variable on factors and ffr:

Code: Select all

eq01.ls series108 _facrot1 _facrot2 _facrot3 ffr
eq01.forecast

Keep in the mind all variables are standardized (zero mean and unit variance).
Therefore you shoud transform your variable back to the non-standardized one.
Last edited by dakila on Tue Oct 11, 2016 7:15 pm, edited 2 times in total.

Kiyoshi
Posts: 2
Joined: Mon Oct 10, 2016 4:56 pm

Re: FAVAR add-in

Postby Kiyoshi » Tue Oct 11, 2016 4:35 pm

Thank you for your comments, dakila. I know we can see the forecasting variables on factors. Moreover, I would like to know the forecasting for the original variables (x variables from which we extract factors). I guess I have to know the details of the program in order to get the forecasting for every variables.

saeiddd
Posts: 3
Joined: Mon Feb 13, 2017 3:43 am

Re: FAVAR add-in

Postby saeiddd » Tue Feb 14, 2017 5:29 am

hi everybody. I want to obtain IRF for H in skock of F (for example). I use FAVAR add-in .
the add-in give some ifr matrix that I can't analysis them.
may one help me to fill add-in dial-box correctly.
thanks

dakila
Posts: 192
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Tue Feb 14, 2017 6:18 am

Did you read the instruction?

saeiddd
Posts: 3
Joined: Mon Feb 13, 2017 3:43 am

Re: FAVAR add-in

Postby saeiddd » Wed Feb 15, 2017 1:32 am

yes. but there is no guide to obtain IRF in that instruction.
is there other one?
please help me

dakila
Posts: 192
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Wed Feb 15, 2017 1:37 am

There is file (favar_ex.prg) that replicates Bernenke, Boivin and Eliasz (2005).

saeiddd
Posts: 3
Joined: Mon Feb 13, 2017 3:43 am

Re: FAVAR add-in

Postby saeiddd » Wed Feb 15, 2017 4:03 am

thanks alot.
one other question
how I can add standard error boarder to IRF curve?


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