FAVAR add-in

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Bens
Posts: 12
Joined: Sun Feb 04, 2018 6:11 am

Re: FAVAR add-in

Postby Bens » Wed Feb 14, 2018 12:55 pm

hey dakila,

I could solve the problem on my own. Apperently this only appears when using eviews 9. In eviews 10 everything works perfectly fine. Another very important question is how you handled the forecast error variance decomposition. I know how it works in standard VAR models but I never did that in a FAVAR since the variables arent directly included in the VAR. Am I right to suppose that you cant just multiply the standard Forecast error variance decomposition by the factor loadings? In the BBE paper the formular is quit confusing, since its seem like this is exactly what they did. How did you handle that :)

Best,
Ben

dakila
Posts: 294
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Thu Feb 15, 2018 12:23 am

Code: Select all

vardecx=lam.@t*varf*lam          ' variance in x's due to monetary shock
vardecxtot=lam.@t*varftot*lam    ' variance in x's due to all commom factors               
vardecxcom=@ediv(@getmaindiagonal(vardecx), @getmaindiagonal(vardecxtot))

Bens
Posts: 12
Joined: Sun Feb 04, 2018 6:11 am

Re: FAVAR add-in

Postby Bens » Fri Feb 16, 2018 3:03 am

Thanks for sharing parts of your code. So basically you calculated the part the forecast variance of the variable explained by the monetary policy shock relativ to the variance explained by all factors and the monetary policy shock? Thanks for your help and providing an insight into your code :)

Ben

Bens
Posts: 12
Joined: Sun Feb 04, 2018 6:11 am

Re: FAVAR add-in

Postby Bens » Fri Feb 16, 2018 5:30 am

Hey its me again,

we are struggling with heteroskedasticity in our favar and we know that there are bootstrap meausures which account for that when constructing confidence bands. Could you tell/show us, which bootsstrap measure you applied?

dakila
Posts: 294
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Sun Feb 18, 2018 3:36 pm

see Killian (1998).


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