dakila wrote:I could not understand the questions. I never mentioned I(0) and I(1) factors. The add-in replicates Bernanke Boivin Eliasz (2005).
can You help me to find number of factors in Favar model?
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dakila wrote:I could not understand the questions. I never mentioned I(0) and I(1) factors. The add-in replicates Bernanke Boivin Eliasz (2005).
dakila wrote:After the estimation, variables named _facrot1 _facrot2 ... will be created.
dakila wrote:After the estimation, variables named _facrot1 _facrot2 ... will be created.
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eq01.ls series108 _facrot1 _facrot2 _facrot3 ffr
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favar01.confcast "ffr ffr" "2001m12 2002m6" "0.25 0.50"
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eq01.forecast
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favar(factor=3,horizon=48,rep=1000,ci=0.9,save=1) 13 xdata xslow xir tcode yx_name @ ffr
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matrix irf_scl=irfxmat201/irfxmat201(1,1)
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irf_scl = irf_scl*(-0.25/ffr_std)
irf_scl.line(m)
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