Favar QUESTION

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hamidlalkhezri
Posts: 7
Joined: Sat Mar 25, 2017 11:54 pm

Re: Favar QUESTION

Postby hamidlalkhezri » Sun Apr 09, 2017 9:31 pm

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?

dakila
Posts: 271
Joined: Tue Nov 24, 2015 4:57 pm

Re: Favar QUESTION

Postby dakila » Mon Apr 10, 2017 2:31 pm

After the estimation, variables named _facrot1 _facrot2 ... will be created.

hamidlalkhezri
Posts: 7
Joined: Sat Mar 25, 2017 11:54 pm

Re: Favar QUESTION

Postby hamidlalkhezri » Mon Apr 10, 2017 11:41 pm

dakila wrote:After the estimation, variables named _facrot1 _facrot2 ... will be created.

aftar the estimation variables are create. now how i estimation FAVAR model?How to obtain the number of lags?
thank u.

hamidlalkhezri
Posts: 7
Joined: Sat Mar 25, 2017 11:54 pm

Re: Favar QUESTION

Postby hamidlalkhezri » Tue Apr 25, 2017 12:04 pm

dakila wrote:After the estimation, variables named _facrot1 _facrot2 ... will be created.

hi. can you help me to esimation favar model?
After estimating favar model this message appears:"Missing Value found in covariance/correlation matrix"

dakila
Posts: 271
Joined: Tue Nov 24, 2015 4:57 pm

Re: Favar QUESTION

Postby dakila » Tue Apr 25, 2017 3:02 pm

Could you post the file?

ali_Economist
Posts: 21
Joined: Sat Aug 27, 2016 9:55 am

Re: Favar QUESTION

Postby ali_Economist » Sat Jul 08, 2017 12:11 pm

Hi, I am trying to run the model, if i use the dialog box it gives "Syntax error" if use the commandline it says tcode not define, i tried best to give the tcode by following the program codes but it still keep on giving error message. if you please help. filed attached.
Attachments
germanyquarterly.wf1
(26.91 KiB) Downloaded 28 times

ali_Economist
Posts: 21
Joined: Sat Aug 27, 2016 9:55 am

Re: Favar QUESTION

Postby ali_Economist » Thu Jul 13, 2017 1:34 am

Hi, i am trying to run the baysian favar, it is giving an error 500, if you please help.

Regards
Ali
Attachments
germanyquarterly.wf1
(35.09 KiB) Downloaded 19 times

ali_Economist
Posts: 21
Joined: Sat Aug 27, 2016 9:55 am

Re: Favar QUESTION

Postby ali_Economist » Thu Jul 13, 2017 2:05 am

got it sorted, please ignore my both questions about FAVAR and BFAVAR. thanks.

ouerk
Posts: 11
Joined: Tue May 23, 2017 11:29 am

Re: Favar QUESTION

Postby ouerk » Thu Jul 13, 2017 3:20 am

Hi
my "xdata" is a specific short term interest rate wich contain negatif values after 2010. this variable is stationnary after first difference transformation and i kwew that de tcode don't accept this transformation. I try to pass by Dlog but i can't (the value are negatif ,so i ca'nt transform them to log )

suggestions ??

thank you in advance !

Salima

dakila
Posts: 271
Joined: Tue Nov 24, 2015 4:57 pm

Re: Favar QUESTION

Postby dakila » Thu Jul 13, 2017 5:41 pm

If I were you I will never transform interest rate. If you really want the first difference transformation, I will try to include it.

ouerk
Posts: 11
Joined: Tue May 23, 2017 11:29 am

Re: Favar QUESTION

Postby ouerk » Fri Jul 14, 2017 4:42 am

Thank you for your answer !you are right, i will not transform the interest rate for the study !
One last question , i would like to produce 'conditional forecasts' . I knew how to do it with simple Var but not with Favar .

it is possible to produce conditional forecast with FAVAR ?

Thank you !!

SALIMA

dakila
Posts: 271
Joined: Tue Nov 24, 2015 4:57 pm

Re: Favar QUESTION

Postby dakila » Sat Jul 15, 2017 1:13 am

Yes. it is possible to estimate conditional forecast with the FAVAR add-in. You will need to install the Confcast add-in.

after the estimation you should use the following command (for BBE example):
First you will need to estimate the factor loading equation for selected variable (for example series108):

Code: Select all

eq01.ls series108 _facrot1 _facrot2 _facrot3 ffr


then you should forecast the factors on conditional path of ffr :

Code: Select all

favar01.confcast "ffr ffr" "2001m12 2002m6" "0.25 0.50"


finally you should forecast the selected variable (series108):

Code: Select all

eq01.forecast


Keep in the mind all variables are standardized (zero mean and unit variance).
Therefore you should transform your variable back to the non-standardized one.

ouerk
Posts: 11
Joined: Tue May 23, 2017 11:29 am

Re: Favar QUESTION

Postby ouerk » Sat Jul 15, 2017 11:53 am

Thank you for your precious help !

For the study, i must compare the impact of "expansionary monetary policy shock' to show if the unconventional monetary policy and conventional monetary policy have the same impact .

The unconventional monetary policy consist to 'decrease 'policy rate since the crisis = exclusively 'expansionary moneraty policy" so i can't comment the impulse reponses of the selected variables to 'recessionary monetary policy shock' (+0.25 bps) like Bernanke.

is it possible to obtain impulse reponses of selected variable to 'expansionary monetary shock" (-0.25 bps or - 1 bps ) ??

Thank you in advance for your help !!

Salima

dakila
Posts: 271
Joined: Tue Nov 24, 2015 4:57 pm

Re: Favar QUESTION

Postby dakila » Sun Jul 16, 2017 2:18 pm

Yes, it is possible. First you need to save the IRF. For instance:

Code: Select all

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


After the estimation you will need to calculate the unit IRF:

Code: Select all

matrix irf_scl=irfxmat201/irfxmat201(1,1)


then scale it by parameter you want for example -0.25

Code: Select all

irf_scl = irf_scl*(-0.25/ffr_std)
irf_scl.line(m)


where ffr_std is standard deviaton of FFR. Keep in the mind the all variables are standardized so you need to standardize the shock.

ouerk
Posts: 11
Joined: Tue May 23, 2017 11:29 am

Re: Favar QUESTION

Postby ouerk » Wed Jul 19, 2017 4:04 am

thank you for your help, Dakila !!

i obtain impulse response matrix (for shock egal to -0,25) but i don't have confidence intervals , the axis 0 and the name of the selected variables (see workfile). what should i do to get these items (like figure 01 in your exple) ?

for the conditional forecast, i should transform for exple series2 to the non standardized on
-before i estimate eq01 ?
- before i forecast the factors ?
- before i forecast series2 ?

salima
Attachments
graph.wf1
(22.83 KiB) Downloaded 21 times
Last edited by ouerk on Fri Jul 21, 2017 4:21 pm, edited 2 times in total.


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