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FAVAR add-in

Posted: Wed Dec 02, 2015 6:35 pm
by CharlieEVIEWS
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?

Re: FAVAR add-in

Posted: Mon Dec 28, 2015 6:39 pm
by dakila
thanks Charlie for your comment.
Please download Bayesian FAVAR package from EViews Add-In page (http://www.eviews.com/Addins/addins.shtml)

Re: FAVAR add-in

Posted: Mon Oct 10, 2016 5:06 pm
by Kiyoshi
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?

Re: FAVAR add-in

Posted: Tue Oct 11, 2016 6:38 am
by dakila
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.

Re: FAVAR add-in

Posted: Tue Oct 11, 2016 4:35 pm
by Kiyoshi
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.

Re: FAVAR add-in

Posted: Tue Feb 14, 2017 5:29 am
by saeiddd
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

Re: FAVAR add-in

Posted: Tue Feb 14, 2017 6:18 am
by dakila
Did you read the instruction?

Re: FAVAR add-in

Posted: Wed Feb 15, 2017 1:32 am
by saeiddd
yes. but there is no guide to obtain IRF in that instruction.
is there other one?
please help me

Re: FAVAR add-in

Posted: Wed Feb 15, 2017 1:37 am
by dakila
There is file (favar_ex.prg) that replicates Bernenke, Boivin and Eliasz (2005).

Re: FAVAR add-in

Posted: Wed Feb 15, 2017 4:03 am
by saeiddd
thanks alot.
one other question
how I can add standard error boarder to IRF curve?

Re: FAVAR add-in

Posted: Thu Apr 06, 2017 5:40 pm
by dakila
The favar add-in is updated. The version 2 includes the variance decomposition and R2

Re: FAVAR add-in

Posted: Thu May 04, 2017 8:35 am
by vravor
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?

Re: FAVAR add-in

Posted: Thu May 04, 2017 7:57 pm
by dakila
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.

Re: FAVAR add-in

Posted: Sat May 06, 2017 7:56 am
by vravor
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.

Re: FAVAR add-in

Posted: Wed May 10, 2017 2:10 am
by dakila
Thanks your comment. Now it includes an option to save the IRF to matrix.