Code: Select all
favar(factor=3,horizon=60,rep=1000,ci=0.9,vd=1, scale=1, sn=0.25) 13 xdata xslow xir tcode yx_name @ ffr
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Code: Select all
favar(factor=3,horizon=60,rep=1000,ci=0.9,vd=1, scale=1, sn=0.25) 13 xdata xslow xir tcode yx_name @ ffr
dakila wrote:Yes, it is right. Use scale (1 or 0) and sn (scale number) command. For example,Code: Select all
favar(factor=3,horizon=60,rep=1000,ci=0.9,vd=1, scale=1, sn=0.25) 13 xdata xslow xir tcode yx_name @ ffr
Code: Select all
favar(factor=3,horizon=60,rep=1000,ci=0.9,vd=1, scale=1, sn=0.25) 13 xdata xslow xir tcode yx_name c @trend @ ffr
Would I need to set sn equal to 0.25/std(ffr) if I estimated the FAVAR with non-standardized data?
I would also like to know if the "favar" command allows for the inclusion of a constant and a linear time trend as in the standard EViews command for estimating a VAR, i.e.
Would the corresponding impulse response function from the "favar" command show the change in the level of GDP in USD in response to a monetary policy shock? Or would the impulse response function just accumulate the changes in the growth rates such that the Y-axis shows the relative change in GDP (i.e., %-change)?
dakila wrote:Would I need to set sn equal to 0.25/std(ffr) if I estimated the FAVAR with non-standardized data?
I think you need to set sn equal to 0.25/std(ffr) if you estimated the FAVAR with standardized data.I would also like to know if the "favar" command allows for the inclusion of a constant and a linear time trend as in the standard EViews command for estimating a VAR, i.e.
No it does not allow a linear time trend. It automatically includes a constant.Would the corresponding impulse response function from the "favar" command show the change in the level of GDP in USD in response to a monetary policy shock? Or would the impulse response function just accumulate the changes in the growth rates such that the Y-axis shows the relative change in GDP (i.e., %-change)?
% -change
1. Is it possible to forecast individual series used to build factors? (not just factors themselves)
Is it possible to draw factors from multiple datasets? Let's say I have sets X1 and X2 composed of different data series and I would like to use the first principal component of each (X1 and X2) in my FAVAR as factors?
dakila wrote:1. Is it possible to forecast individual series used to build factors? (not just factors themselves)
Yes . this question was answered beforeIs it possible to draw factors from multiple datasets? Let's say I have sets X1 and X2 composed of different data series and I would like to use the first principal component of each (X1 and X2) in my FAVAR as factors?
No.
dakila wrote:dakila wrote:1. Is it possible to forecast individual series used to build factors? (not just factors themselves)
Yes . this question was answered beforeIs it possible to draw factors from multiple datasets? Let's say I have sets X1 and X2 composed of different data series and I would like to use the first principal component of each (X1 and X2) in my FAVAR as factors?
No.
Kiyoshi wrote: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.
dakila wrote: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.
Code: Select all
favar01.forecast(prompt)
FZLAGH wrote:Hi,
I'm trying to estimate a FAVAR model using this add-in and i wonder if it is possible to obtain impulse responses of “factors” to their orthogonalized innovations and then translate this response to other variables from which we get the factors.
Thank you
heer0 wrote:FZLAGH wrote:Hi,
I'm trying to estimate a FAVAR model using this add-in and i wonder if it is possible to obtain impulse responses of “factors” to their orthogonalized innovations and then translate this response to other variables from which we get the factors.
Thank you
This is exactly what the add-in is for. If you need an introduction, refer to the example file "favar_ex" that comes with the installation package for the add-in. This example file replicates the findings (e.g., impulse response graphs) of Bernanke, Boivin, and Eliasz (2005).
Hope it helps!
FZLAGH wrote:heer0 wrote:FZLAGH wrote:Hi,
I'm trying to estimate a FAVAR model using this add-in and i wonder if it is possible to obtain impulse responses of “factors” to their orthogonalized innovations and then translate this response to other variables from which we get the factors.
Thank you
This is exactly what the add-in is for. If you need an introduction, refer to the example file "favar_ex" that comes with the installation package for the add-in. This example file replicates the findings (e.g., impulse response graphs) of Bernanke, Boivin, and Eliasz (2005).
Hope it helps!
Thanks for your request, but what i meen is that the Bernanke, Boivin, and Eliasz example looks for IRF to a monetary Policy shock. In my case i would like to have IRF to the orthogonnalized innovations of factors (shocks to factors).
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