FAVAR add-in

For questions about EViews Add-ins available from the EViews Add-ins webpage. Note each add-in available on our webpage will have its own individual thread.

Moderators: EViews Gareth, EViews Moderator, EViews Esther

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: 479
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: 479
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

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

see Killian (1998).

jaromir.gec
Posts: 3
Joined: Thu Mar 29, 2018 1:38 pm

Re: FAVAR add-in

Postby jaromir.gec » Mon Apr 09, 2018 10:41 am

Hello,
is it possible to obtain the IRF for a variable which is only differenced and not log-differenced (has negative values) using your add-in, please?
My second question is connected with the IRF interpretation. Is the y axis in standard deviations of original variables or in standard deviations of variables trasformed to exhibit stationarity (for example: if the variable is log-differenced, is the y-axis unit of IRF standard deviation of level or standard deviation of log of the original variable)? Thank you very much.

dakila
Posts: 479
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Wed Apr 11, 2018 8:39 pm

Hi,
It now includes the first difference option (code=2).Please update the favar add-in.
Y axis is in standard deviation unit (0 mean, 1 variance) of untransformed variable.

jaromir.gec
Posts: 3
Joined: Thu Mar 29, 2018 1:38 pm

Re: FAVAR add-in

Postby jaromir.gec » Fri Apr 13, 2018 11:38 am

Thank you very much for your reply. Unfortunately, I can't update the add-in anymore as it says: "Could not open file due to: unknown error." I tried both Eviews 9 and 10 at work. At the same time, I can update other Eviews add-ins without any issues, so it seems that this error is specific to FAVAR addin only at the moment.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13294
Joined: Tue Sep 16, 2008 5:38 pm

Re: FAVAR add-in

Postby EViews Gareth » Fri Apr 13, 2018 11:47 am

Try now.
Follow us on Twitter @IHSEViews

jaromir.gec
Posts: 3
Joined: Thu Mar 29, 2018 1:38 pm

Re: FAVAR add-in

Postby jaromir.gec » Fri Apr 13, 2018 11:53 am

It works now. Thank you very much!

uurak
Posts: 7
Joined: Tue Dec 12, 2017 1:37 am

Re: FAVAR add-in

Postby uurak » Wed Nov 28, 2018 12:07 am

Hello;

Is it possible to see factor loadings or where can be found? And is it possible to estimate VAR with dummy variables or exogenous variables?

Thanks..

dakila
Posts: 479
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Wed Nov 28, 2018 8:05 am

You can do this manually

uurak
Posts: 7
Joined: Tue Dec 12, 2017 1:37 am

Re: FAVAR add-in

Postby uurak » Thu Nov 29, 2018 12:05 am

Hi Dakila;

Thank you for the quick response. But where exactly can I find the loadings? I try to classify the factors but I did not find that which factor is affected by which variable. Thanks.

dakila
Posts: 479
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Thu Nov 29, 2018 2:30 pm

For example:

Code: Select all

equation eq.ls series01 _facrot1 _facrot2 _facrot3 ffr

abdhut123
Posts: 4
Joined: Sat Nov 18, 2017 12:38 pm

Re: FAVAR add-in

Postby abdhut123 » Tue Jan 29, 2019 7:19 am

Hi everyone, can I order the y series before the factors.....in estimating FAVAR....


Return to “Add-in Support”

Who is online

Users browsing this forum: No registered users and 10 guests