FAVAR add-in

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dakila
Posts: 356
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Tue Jan 29, 2019 6:09 pm

That option is not yet available. I will try to do it.

briskair
Posts: 4
Joined: Tue Feb 26, 2019 6:31 pm

Re: FAVAR add-in

Postby briskair » Fri Mar 01, 2019 6:39 am

Hi dakila,
Thank you so much for your add-in!
Is it possible to add more than one observable variable in the FAVAR add-in?
For example: There are two observable variables- Y1 and Y2.
I try to obtain ① IRFs between Y1 and Y2, ②IRFs of some variables in X in response to Y1, ③IRFs of some variables in X in response to Y2,
④variance decomposition of some variables in X considering Y1 and Y2 separately.
I hope my description doesn't confuse you. :oops:

Could you give me some advice on how to obtain these IRFs and variance decomposition? Thank you very much.

dakila
Posts: 356
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Sat Mar 02, 2019 2:54 am

No problem, you can add more than one observable variable. For example,
favar(factor=3,horizon=48,rep=1000,ci=0.9,save=1,vd=1) 13 xdata xslow xir tcode yx_name @ ip cpi ffr

briskair
Posts: 4
Joined: Tue Feb 26, 2019 6:31 pm

Re: FAVAR add-in

Postby briskair » Sun Mar 03, 2019 7:49 pm

dakila wrote:No problem, you can add more than one observable variable. For example,
favar(factor=3,horizon=48,rep=1000,ci=0.9,save=1,vd=1) 13 xdata xslow xir tcode yx_name @ ip cpi ffr

Hi dakila,
Thank you for your response!
I tried to include 2 observable variables. But I only got an IRF figure and a variance decomposition table.
I have no idea which observable variables cause the shock. Could you help me to explain the results? Are there any mistakes in my command?
Thank you very much.

bbe(2005)Y(FFR,IP) result.wf1
(2.33 MiB) Downloaded 4 times

command
favar(factor=3,horizon=48,rep=100,ci=0.9,save=1,vd=1) 13 x xslow xir tcode yx_name @ series77 series16

dakila
Posts: 356
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Mon Mar 04, 2019 6:53 am

No mistakes. Sorry, It will show you IRF figure and variance decomposition of the last variable (shock to series 16). I will try to include IRF figure of other variables.

briskair
Posts: 4
Joined: Tue Feb 26, 2019 6:31 pm

Re: FAVAR add-in

Postby briskair » Mon Mar 04, 2019 9:53 pm

Thank you very much for your help. :D I look forward to the update!

briskair
Posts: 4
Joined: Tue Feb 26, 2019 6:31 pm

Re: FAVAR add-in

Postby briskair » Fri Mar 08, 2019 5:19 am

Hi dakila,
If I set "xslow" equal to "xdata" in the FAVAR add-in, does it mean that I extract principal components from the whole information set "xdata" without distinguish fast-moving variables and slow-moving variables?
(xdata:group of X variables; xslow:group of slow-moving variables)

If so, is it uncompatible with the recursive ordering? (order observable variable last)
Could you help me to figure out these questions? Thank you :)

dakila
Posts: 356
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Tue Mar 12, 2019 3:43 pm

Hi Briskair,

The favar add-in is updated. Now it includes the optional impulse variable. For example,

Code: Select all

favar(factor=3,horizon=48,rep=1000,ci=0.9,impulse=ffr) 13 xdata xslow xir tcode yx_name @ ffr


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