FAVAR add-in

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jjw_10
Posts: 4
Joined: Sat Dec 28, 2013 10:32 am

Re: FAVAR add-in

Postby jjw_10 » Wed Jun 07, 2017 8:24 am

Dakila - Thank you for the useful add-in. Is there a way to apply the scaled IRF add-in to the FAVAR add-in?

dakila
Posts: 221
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Wed Jun 07, 2017 4:35 pm

Good idea. I will try to code it.

jjw_10
Posts: 4
Joined: Sat Dec 28, 2013 10:32 am

Re: FAVAR add-in

Postby jjw_10 » Fri Jun 09, 2017 7:02 am

Thank you, Dakila. Is there a possibility of running cumulative IRFs in your add-in?

dakila
Posts: 221
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Fri Jun 09, 2017 5:54 pm

Yes, It actually do the cumulative IRFs when you transform the variable. For example, if you put the transformation code 4 or 5 it will accumulate the IRFs.

jjw_10
Posts: 4
Joined: Sat Dec 28, 2013 10:32 am

Re: FAVAR add-in

Postby jjw_10 » Fri Jun 09, 2017 8:08 pm

Ahh, ok. Thanks.

adriana
Posts: 2
Joined: Sat Jun 10, 2017 1:57 pm

Re: FAVAR add-in

Postby adriana » Thu Jun 22, 2017 6:09 pm

Hi,

I tried to get the factors by the usual way of principal components, but I didn´t have the same series. Also I can see that the final factors used in VAR have "rot" in its labels. Does it have any other treatment, or could you please tell me the way to get it? Thanks!

dakila
Posts: 221
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Fri Jun 23, 2017 2:29 am

"ROT" means the rotated factors. In order to estimate the factors do the following steps:
1) estimate factors (C) using all variables except FFR (you did this step)
2) estimate slow moving factors (Fs) from the slow moving variables.
3) estimate the regression by OLS : C=b1*Fs + b2*FFR + e
4) estimate the rotated factors : C-b2*FFR

adriana
Posts: 2
Joined: Sat Jun 10, 2017 1:57 pm

Re: FAVAR add-in

Postby adriana » Mon Jun 26, 2017 6:05 pm

Thank you! I got them but with a very small difference. Maybe that's because I didn't standardize my variables (since all of them were stationaries), do you think thats made the difference?

dakila
Posts: 221
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Mon Jun 26, 2017 7:19 pm

Yes, I think that made the difference.


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