## Threshold Structural VAR

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nasa
Posts: 39
Joined: Tue Aug 02, 2016 12:41 am

### Re: Threshold Structural VAR

Hi,

Here is my work file and I think based on the formula, the following is the result.Is that right,please?
The endogenous variables are: dgdp,dspending,dtax and the threshold variable and response variable is dgdp and the lag length for the VAR is 2.
Degrees of freedom=N-1.
b = 0.15*(2014q2-1960q1+1)+3-217
= 0.15*(218+1)+3-217
=-181.15
thsvar workfile.WF1
(151.16 KiB) Downloaded 63 times

Best.

dakila
Posts: 311
Joined: Tue Nov 24, 2015 4:57 pm

### Re: Threshold Structural VAR

I don't think so. The degrees of freedom is just for adjustment of the sample size. It should not be big number. It may be between 0 to 5.

nasa
Posts: 39
Joined: Tue Aug 02, 2016 12:41 am

### Re: Threshold Structural VAR

ok,

may be the formula is wrong or what is my wrong here is then?

plus can i get the impulses result in table form,please?

Best.

nasa
Posts: 39
Joined: Tue Aug 02, 2016 12:41 am

### Re: Threshold Structural VAR

Hi,

I think that the thsvar will be very useful add in for econometricians if it can include confidence intervals based on Monte Carlo simulations for the GIRFs. It could help them to better interpret the results.

Best

dakila
Posts: 311
Joined: Tue Nov 24, 2015 4:57 pm

### Re: Threshold Structural VAR

thanks for the comment

EdgarM
Posts: 4
Joined: Fri Jul 28, 2017 12:00 am

### Re: Threshold Structural VAR

Hello, thanks in advance for the add-in it was really usefull.

I have a question: When i estimate the TVAR with 3 dependent variables, i got 6 outputs instead of only one. I was replied that if i gather all the information in one matrix it was the same, but when i try to analize for example, serial correlation, the results are different for each regression.
How can i merge all of them in one test to unify the results? (or where can i study it, i've been searching in the web for a few days now without results).
Best regards,
Edgar

dakila
Posts: 311
Joined: Tue Nov 24, 2015 4:57 pm

### Re: Threshold Structural VAR

Hello Edgar,

You can do it easily. For example, first estimate VAR model using the following code or the dialog box:

Code: Select all

`smpl 1960q1 1997q3 if d1=1var var01.ls 1 4 d1gdp d1pgdp fyff cpbill1 `

Then use eviews VAR model test.

EdgarM
Posts: 4
Joined: Fri Jul 28, 2017 12:00 am

### Re: Threshold Structural VAR

Thank you very much Dakila!

banhbengconuong
Posts: 15
Joined: Mon Apr 25, 2011 8:31 pm

### Re: Threshold Structural VAR

Dear Dakila,

Thanks so much for making the add-in. I would like to ask whether we can have 2 thresholds for a variable?

Bests,

dakila
Posts: 311
Joined: Tue Nov 24, 2015 4:57 pm

### Re: Threshold Structural VAR

No

bizhenyu1234
Posts: 4
Joined: Wed Nov 22, 2017 3:26 am

### Re: Threshold Structural VAR

Hello,

When I run this program, it shows error message "@ROW is not a member or procedure of SLAG".

Do you know how to deal with this problem?

Thank you very much!

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11774
Joined: Tue Sep 16, 2008 5:38 pm

### Re: Threshold Structural VAR

Which version of EViews?
Follow us on Twitter @IHSEViews

bizhenyu1234
Posts: 4
Joined: Wed Nov 22, 2017 3:26 am

### Re: Threshold Structural VAR

EViews Gareth wrote:Which version of EViews?

Eviews 7.2

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11774
Joined: Tue Sep 16, 2008 5:38 pm

### Re: Threshold Structural VAR

You need a later version to run this add in
Follow us on Twitter @IHSEViews

bizhenyu1234
Posts: 4
Joined: Wed Nov 22, 2017 3:26 am

### Re: Threshold Structural VAR

EViews Gareth wrote:You need a later version to run this add in

Thank you very much!
Now I can run this program.

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