Panel SVAR

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Joined: Sun Oct 13, 2019 7:37 pm

Re: Panel SVAR

Postby wuyanlinzml » Mon Oct 14, 2019 7:12 am

Hi, Dakila
when use i your example data to try the add-in, I meet error message " syntax error" .
and the result show in the picture
you say"The resulting output will be three graph objects that contains 3x3 charts similar to those produced by EViews’ VAR object", so are the resulting output is in "globalteffect"? but it does not draw like what you show in your blog:Panel Structural VARs and the PSVAR add-in
and I can't get “composite” “common” “Idiosyncratic” respectively.
IMG20191014215642.jpg (6.99 MiB) Viewed 4185 times
IMG20191014215624.jpg (4.82 MiB) Viewed 4185 times

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Joined: Mon Nov 02, 2020 12:19 am

Re: Panel SVAR

Postby Nivedita_Athur » Mon Nov 02, 2020 12:48 am

I am currently working on a study using EViews for Estimating PSVAR for a panel of 5 countries using 6 Variables- Inflation, RER, RGDP, MPI, Income Inequality and Consumption Inequality. I use quarterly data. When I try to run the PSVAR add-in using all the six variables, it shows me an error 29 in encrypted program. I gather from the forum discussion that this error appears when data is unbalanced. But my data is strongly balanced with 500 observations- 100 observations per country. If I drop inequality variables, then I get the output without any problem. I am quite in a fix as to what to do. Please let me know what can be done. I am running out of time and I really need some help with this issue as soon as possible. For your reference, I am attaching with this post the data set.
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Joined: Tue Nov 24, 2015 4:57 pm

Re: Panel SVAR

Postby dakila » Tue Nov 03, 2020 12:33 am


I think that there is the multicollinearity problem. The correlation coefficient between incgini and consgii is 0.78.

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Joined: Mon Nov 02, 2020 12:19 am

Re: Panel SVAR

Postby Nivedita_Athur » Tue Nov 03, 2020 12:40 am

Thank you for the response. I did notice that. If I drop one of inequality variables, and include just one inequality, its still showing the same error. What else can be the solution?

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Joined: Tue Dec 31, 2019 6:56 am

Re: Panel SVAR

Postby gabrieltem » Tue Nov 03, 2020 1:05 pm

Hi all,

I am currently working on a state-dependent fiscal multiplier using forecast error to identify the fiscal policy shocks and the local projection method to estimate the impulse response of output to fiscal policy shocks. I will use annual data from 15 countries.
I wonder if you share me the codes to identify government spending shocks as forecast errors of government spending. Moreover the syntax of estimating IRF based on panel LPM.
***[example] forecasts of government spending are taken from October publications of the IMF’s WEO. Then, the fiscal spending shocks are identified as the forecast errors of government spending. Thus,
where gi,t= Gi,t/Yi,t is government spending as a share of GDP. The actual government spending comes from the October WEO of the following year. i-refers to country and t refers to time.

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