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Re: FAVAR add-in

Posted: Wed Jun 07, 2017 8:24 am
by jjw_10
Dakila - Thank you for the useful add-in. Is there a way to apply the scaled IRF add-in to the FAVAR add-in?

Re: FAVAR add-in

Posted: Wed Jun 07, 2017 4:35 pm
by dakila
Good idea. I will try to code it.

Re: FAVAR add-in

Posted: Fri Jun 09, 2017 7:02 am
by jjw_10
Thank you, Dakila. Is there a possibility of running cumulative IRFs in your add-in?

Re: FAVAR add-in

Posted: Fri Jun 09, 2017 5:54 pm
by dakila
Yes, It actually do the cumulative IRFs when you transform the variable. For example, if you put the transformation code 4 or 5 it will accumulate the IRFs.

Re: FAVAR add-in

Posted: Fri Jun 09, 2017 8:08 pm
by jjw_10
Ahh, ok. Thanks.

Re: FAVAR add-in

Posted: Thu Jun 22, 2017 6:09 pm
by adriana
Hi,

I tried to get the factors by the usual way of principal components, but I didnĀ“t have the same series. Also I can see that the final factors used in VAR have "rot" in its labels. Does it have any other treatment, or could you please tell me the way to get it? Thanks!

Re: FAVAR add-in

Posted: Fri Jun 23, 2017 2:29 am
by dakila
"ROT" means the rotated factors. In order to estimate the factors do the following steps:
1) estimate factors (C) using all variables except FFR (you did this step)
2) estimate slow moving factors (Fs) from the slow moving variables.
3) estimate the regression by OLS : C=b1*Fs + b2*FFR + e
4) estimate the rotated factors : C-b2*FFR

Re: FAVAR add-in

Posted: Mon Jun 26, 2017 6:05 pm
by adriana
Thank you! I got them but with a very small difference. Maybe that's because I didn't standardize my variables (since all of them were stationaries), do you think thats made the difference?

Re: FAVAR add-in

Posted: Mon Jun 26, 2017 7:19 pm
by dakila
Yes, I think that made the difference.

Re: FAVAR add-in

Posted: Fri Jun 30, 2017 7:29 am
by ilef
Hello, I want to apply FAVAR on eviews but I found difficulties in entering variables on the dialog box, please can you help me?
Thanks a lot.

Re: FAVAR add-in

Posted: Fri Jun 30, 2017 4:44 pm
by dakila
Did you read the instruction which is located in C:\Users\...\Documents\EViews Addins\FAVAR (Favar Package.pdf)?

Re: FAVAR add-in

Posted: Sat Jul 01, 2017 2:53 pm
by ilef
Yes but I still have problems!
Could you explain how to enter variables polease.
Thanks a lot.

Re: FAVAR add-in

Posted: Sat Jul 01, 2017 4:09 pm
by dakila
there is an example program which replicates BBE (2005)

Code: Select all

' BBE (2005) replicaton
' Figure 2
' Table 1

%path = @runpath
cd %path

' open the BBE data that is transformed to induce stationarity
wfopen(type=txt) nsbalpanel.txt delim=space
pagestruct(freq=m,start=1959)

'rename some variables   

for !i=1 to 9
   rename series0{!i} series{!i}
next

'standardize all variables for principal component analsyis

for !i=1 to 120
   series{!i}=(series{!i} - @mean(series{!i}))/@stdevp(series{!i})
next

'Y variables 
genr ffr=series77

'All variables (X) except Y variable (FFR)

group xdata
for !i=1 to 120
   xdata.add series{!i}
next
xdata.drop series77

' Slow-moving variables
group xslow
for !i=1 to 53
   xslow.add series{!i}
next
for !i=103 to 119
   xslow.add series{!i}
next

' Selection of key variables for impulse response analysis
group xir
xir.add series16 series108 series78 series81 series96 series93 series74 series102 series17 series49 series50 series51 series26 series48 series118 series54 series62 series71 series120

'Vector of transformation code of Y (ffr) variable + selection of key variables (xir)
'1 for no transformation
'4 for logarithm
'5 for first difference of logarithm

vector tcode =@fill(1, 5, 5, 1, 1, 5, 5, 5, 1, 1, 5, 5, 5, 1, 1, 5, 4, 1, 1, 1)

'Name of Y variables Y(ffr) + selected key variables (xir)
' Please first put a name of Y variable then selected variables
text yx_name
yx_name.append(file) yxirlabel.txt

' or append manually
' yx_name.append FFR
' yx_name.append IP
' yx_name.append CPI
'......
' yx_name.append Consumer Expectation 

'favar(factor=3,horizon=48,rep=1000,ci=0.9,vd=1,save=1) 13 xdata xslow xir tcode yx_name @ ffr


After running this code, fill the boxes. (Please see the attachment)

Re: FAVAR add-in

Posted: Wed Jul 05, 2017 12:06 pm
by ouerk
Hi,
i have this ERROR message when i run the program : MATRIX SIZE MISMATCH

please can you help me ?
THANK you !!

Re: FAVAR add-in

Posted: Wed Jul 05, 2017 6:24 pm
by dakila
if you have missing value, change the sample size.