FAVAR add-in

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CharlieEVIEWS
Posts: 202
Joined: Tue Jul 17, 2012 9:47 am

FAVAR add-in

Postby CharlieEVIEWS » Wed Dec 02, 2015 6:35 pm

This seems like a great add-in and is super useful - something that I'm sure lots of central bankers especially will be happy to see! However, the favar.prg is encrypted and its hard to know what the program is actually doing. Can I also suggest that a future version of the program cleans up after itself when errors occur from poorly specified inputs?

dakila
Posts: 260
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Mon Dec 28, 2015 6:39 pm

thanks Charlie for your comment.
Please download Bayesian FAVAR package from EViews Add-In page (http://www.eviews.com/Addins/addins.shtml)

Kiyoshi
Posts: 2
Joined: Mon Oct 10, 2016 4:56 pm

Re: FAVAR add-in

Postby Kiyoshi » Mon Oct 10, 2016 5:06 pm

Hi, I confirm FAVAR add-ins has worked in my PC. It's really useful. However, I would like to modify trhe programm because the add-ins show just only impulse responses, I want to see the predction path. can anyone tell me the details in the programm?

dakila
Posts: 260
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Tue Oct 11, 2016 6:38 am

after the estimation you should use the following command:

Code: Select all

favar01.forecast(prompt)

then you should regress the forecasting variable on factors and ffr:

Code: Select all

eq01.ls series108 _facrot1 _facrot2 _facrot3 ffr
eq01.forecast

Keep in the mind all variables are standardized (zero mean and unit variance).
Therefore you shoud transform your variable back to the non-standardized one.
Last edited by dakila on Tue Oct 11, 2016 7:15 pm, edited 2 times in total.

Kiyoshi
Posts: 2
Joined: Mon Oct 10, 2016 4:56 pm

Re: FAVAR add-in

Postby Kiyoshi » Tue Oct 11, 2016 4:35 pm

Thank you for your comments, dakila. I know we can see the forecasting variables on factors. Moreover, I would like to know the forecasting for the original variables (x variables from which we extract factors). I guess I have to know the details of the program in order to get the forecasting for every variables.

saeiddd
Posts: 3
Joined: Mon Feb 13, 2017 3:43 am

Re: FAVAR add-in

Postby saeiddd » Tue Feb 14, 2017 5:29 am

hi everybody. I want to obtain IRF for H in skock of F (for example). I use FAVAR add-in .
the add-in give some ifr matrix that I can't analysis them.
may one help me to fill add-in dial-box correctly.
thanks

dakila
Posts: 260
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Tue Feb 14, 2017 6:18 am

Did you read the instruction?

saeiddd
Posts: 3
Joined: Mon Feb 13, 2017 3:43 am

Re: FAVAR add-in

Postby saeiddd » Wed Feb 15, 2017 1:32 am

yes. but there is no guide to obtain IRF in that instruction.
is there other one?
please help me

dakila
Posts: 260
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Wed Feb 15, 2017 1:37 am

There is file (favar_ex.prg) that replicates Bernenke, Boivin and Eliasz (2005).

saeiddd
Posts: 3
Joined: Mon Feb 13, 2017 3:43 am

Re: FAVAR add-in

Postby saeiddd » Wed Feb 15, 2017 4:03 am

thanks alot.
one other question
how I can add standard error boarder to IRF curve?

dakila
Posts: 260
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Thu Apr 06, 2017 5:40 pm

The favar add-in is updated. The version 2 includes the variance decomposition and R2

vravor
Posts: 2
Joined: Thu May 04, 2017 1:54 am

Re: FAVAR add-in

Postby vravor » Thu May 04, 2017 8:35 am

When I run the add-in, I always get this message in the end: "_COLMAT is not defined.". However, a favar (var object) and a graph with the IRFs are produced and look fine. WHat would this message mean? Is it something to worry about?

Also, when trying to use more than two factors in the FAVAR, I get this error message: "_FACT_S3 is not defined." and as far as I can tell, estimation stops with only some series created, not the final output (var and IRFs graphs). WHat could cause this?

Finally, I saw a quastion in the forum on whether there is a way to transform the IRFs graph object to spreadsheet and I also would like to have the values of the results apart from the graph. Is there any way to get the results in a matrix/series, maybe a way for the add-in not to delete the data?

dakila
Posts: 260
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Thu May 04, 2017 7:57 pm

When I run the add-in, I always get this message in the end: "_COLMAT is not defined.". However, a favar (var object) and a graph with the IRFs are produced and look fine. WHat would this message mean? Is it something to worry about?

Don't worry about this message. If you don't have the variable with transformation code 5, it shows up.
Also, when trying to use more than two factors in the FAVAR, I get this error message: "_FACT_S3 is not defined." and as far as I can tell, estimation stops with only some series created, not the final output (var and IRFs graphs). WHat could cause this?

I am not sure about this error message unless you post the data.
Finally, I saw a quastion in the forum on whether there is a way to transform the IRFs graph object to spreadsheet and I also would like to have the values of the results apart from the graph. Is there any way to get the results in a matrix/series, maybe a way for the add-in not to delete the data?

I will try to include the option to save the IRF graphs to spreadsheet.

vravor
Posts: 2
Joined: Thu May 04, 2017 1:54 am

Re: FAVAR add-in

Postby vravor » Sat May 06, 2017 7:56 am

Thank you for the ruick response! I think an option to save the IRF graphs to spreadsheet would come really handy for users of the add-in; especially if it were possible to opt for multiple confidence intervals estimation for the IRFs (as in every new run of the program, the favar estimated changes slightly, so it's not possible to do it with separate runs), although I understand this can require more adaptations in the code.

dakila
Posts: 260
Joined: Tue Nov 24, 2015 4:57 pm

Re: FAVAR add-in

Postby dakila » Wed May 10, 2017 2:10 am

Thanks your comment. Now it includes an option to save the IRF to matrix.


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