Favar QUESTION

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ouerk
Posts: 17
Joined: Tue May 23, 2017 11:29 am

Re: Favar QUESTION

Postby ouerk » Fri Jul 21, 2017 11:40 am

thank you , Dakila !!i am grateful ! we are lucky to be able to benefit from your help !


i followed your instructions and i obtain the impulse response matrix(for shock egal to -0.25) , i use the option graph and i obtain the graphs of impulse response without confidence intervals , the axis 0 and the name of the selected variables (see workfile). what should i do to get them (like figure 01 in your exple) ?

for the conditional forecast,you tell me i should transform for exple series2 to the non standardized on . i must do it :
-before i estimate eq01 ?
- before i forecast the factors ?
- before i forecast series2 ?

i transform only the selected variable (series2) , NOT the series contrained (ffr). true ?

THANK YOU very much !

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

Re: Favar QUESTION

Postby dakila » Sat Jul 22, 2017 12:40 am

what should i do to get them (like figure 01 in your exple) ?

You should do the same things for the confidence interval. For example:

Code: Select all

matrix irf_ub=irfxmat_ub01/irfxmat_ub01(1,1)
irf_ub = irf_ub*(-0.25/ffr_std) ' upper bound
matrix irf_lb=irfxmat_lb01/irfxmat_lb01(1,1)
irf_lb = irf_lb*(-0.25/ffr_std) ' lower bound

Easiest way to draw the figure is copy the matrix to excel then draw the graph.

for the conditional forecast,you tell me i should transform for exple series2 to the non standardized on . i must do it :
-before i estimate eq01 ?
- before i forecast the factors ?
- before i forecast series2 ?

After the conditional forecast you should transform for expel series2
i transform only the selected variable (series2) , NOT the series contrained (ffr). true ?

Yes that is true.

ouerk
Posts: 17
Joined: Tue May 23, 2017 11:29 am

Re: Favar QUESTION

Postby ouerk » Tue Jul 25, 2017 9:49 am

Thank you for your answer, Dakila !
i obtain the ifr with confidence interval.


i transform some of my variables to induce stationarity .when i perform 'the conditional forecast ',i have for exple the conditional forecast of the
dlog pib ( i transform this variable back to the non-standardized one).

i would like to obtain the conditional forecast of the real value (without transformation ). in general ,i can applied the formula
Tx+1 = Tx *e(dlogpib) . how can i traduce this formula to employ it in eviews ?

thank you in advance !!
SALIMA

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

Re: Favar QUESTION

Postby dakila » Wed Jul 26, 2017 1:05 am

what is Tx?

ouerk
Posts: 17
Joined: Tue May 23, 2017 11:29 am

Re: Favar QUESTION

Postby ouerk » Thu Aug 17, 2017 5:09 am

hi Dakila !

can you add the transformation' second difference of log ' and 'first difference' please ? i have no stationary variables with dlog so i must use ddlog.



Thank you very much !!

salima Ouerk
phd student
Last edited by ouerk on Wed Aug 23, 2017 4:41 am, edited 1 time in total.

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

Re: Favar QUESTION

Postby dakila » Fri Aug 18, 2017 6:29 am

I will try

ouerk
Posts: 17
Joined: Tue May 23, 2017 11:29 am

Re: Favar QUESTION

Postby ouerk » Sat Aug 19, 2017 8:39 am

thank you very much !!

ouerk
Posts: 17
Joined: Tue May 23, 2017 11:29 am

Re: Favar QUESTION

Postby ouerk » Tue Oct 10, 2017 5:38 am

Hi Dakila,

could you add the others possible transformations ? ( the fist difference ,the second difference and ddlog)


Thanks you very much for your answer !!

Salima Ouerk

ouerk
Posts: 17
Joined: Tue May 23, 2017 11:29 am

Re: Favar QUESTION

Postby ouerk » Mon Nov 20, 2017 8:00 am

Hi,

The impulses responses of the variables to an unexpected increase in ffr are to be interpreted in "pourcentage points " in the model ? for exple, changes in GDP are expressed in pourcentage point ? or in standard deviation ?



Thanks

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

Re: Favar QUESTION

Postby dakila » Mon Nov 20, 2017 2:08 pm

Note that the figures report impulse responses in standard deviation units.

neda
Posts: 3
Joined: Sat Oct 13, 2018 8:41 am

Re: Favar QUESTION

Postby neda » Sat Oct 13, 2018 11:14 pm

dakila wrote:There is example file (favar_ex.prg) and instruction pdf file in the FAVAR add-in folder.

hi
i can`t find this instruction pdf file!!! i extracted factors and i have x and y variables but i don`t know how i have to use them in eviews.

neda
Posts: 3
Joined: Sat Oct 13, 2018 8:41 am

Re: Favar QUESTION

Postby neda » Sat Oct 13, 2018 11:20 pm

hi
i`m doing a favar analysis. i`v extracted factors and i have x and y variables. but i don`t know how i have to use them in eviews, i can`t find the instruction pdf file in add ins

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

Re: Favar QUESTION

Postby dakila » Tue Oct 16, 2018 5:53 am

C:\Users\...\Documents\EViews Addins\FAVAR\favar.pdf

HyeongjunKim
Posts: 1
Joined: Thu Mar 18, 2021 1:17 am

Re: Favar QUESTION

Postby HyeongjunKim » Thu Mar 18, 2021 5:44 pm

gpriest1412 wrote:
dakila wrote:There is example file (favar_ex.prg) and instruction pdf file in the FAVAR add-in folder.

Hi,Dakila, your suggestion is helpful. I am trying to follow the instruction to apply the FAVAR. However, I did the exactly same as the favar_ex, the software replied me with "factor01 is not the same length as the sample". Could you tell me what is wrong with it?


Hi. I downloaded the favarsf add-in, but I cannot find the example file (favar_ex.prg).

1.Where can I find the example file?

2. What is the difference between the old favar add-in and the new add-in named favarsf? Does the new one also replicate the Bernanke et al(2005)?

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

Re: Favar QUESTION

Postby dakila » Thu Mar 18, 2021 8:13 pm

This thread is about the favar add-in. The favarsd is written by another author. I don't know about the favarsf add-in


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