## FAVAR add-in

**Moderators:** EViews Gareth, EViews Moderator, EViews Esther

### Re: FAVAR add-in

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

### Re: FAVAR add-in

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.

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

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.

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

### Re: FAVAR add-in

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

### Re: FAVAR add-in

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.

command

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

### Re: FAVAR add-in

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.

### Re: FAVAR add-in

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

### Re: FAVAR add-in

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

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

### Re: FAVAR add-in

Hi Briskair,

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

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`

### Re: FAVAR add-in

Hi;

Thanks for the very useful add-in. I want to ask related to impulses responses. I try to analyze oil effects on the economy. But, responses of the factor series to oil vary according to the method which is used. Generalized IR has significantly different results. Which of them do you suggest to use?

Finally, is there possible to obtain the generalized responses of special variables?

Thanks..

Thanks for the very useful add-in. I want to ask related to impulses responses. I try to analyze oil effects on the economy. But, responses of the factor series to oil vary according to the method which is used. Generalized IR has significantly different results. Which of them do you suggest to use?

Finally, is there possible to obtain the generalized responses of special variables?

Thanks..

### Re: FAVAR add-in

dakila wrote: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`

Thank you so much for your update!

### Re: FAVAR add-in

Hi dakila,

How could I use information criteria of Bai&Ng（2002) to determine the number of factors?

I would greatly appreciate if you could help me!

How could I use information criteria of Bai&Ng（2002) to determine the number of factors?

I would greatly appreciate if you could help me!

### Re: FAVAR add-in

Hi dakila;

Thank you for your all kindly help. Finally, I want to ask that is it possible to add exogenous variable in the FAVAR model and derive the responses of some observables to change in the exogenous variable?

I work with oil price as a dependent variable. And I want to restrict feedback from endogenous to oil.

Thank you for your all kindly help. Finally, I want to ask that is it possible to add exogenous variable in the FAVAR model and derive the responses of some observables to change in the exogenous variable?

I work with oil price as a dependent variable. And I want to restrict feedback from endogenous to oil.

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