Time varying SVAR

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dakila
Posts: 266
Joined: Tue Nov 24, 2015 4:57 pm

Re: Time varying SVAR

Postby dakila » Mon Nov 14, 2016 3:52 pm

I will try to include the residuals. I hope it will be released in 2 weeks.

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

Re: Time varying SVAR

Postby ali_Economist » Thu Nov 17, 2016 10:55 am

Hi, I am trying to look at the impact of real rates on the unemployment and cpi, but is giving error Near Singular Matrix, I can,t log the series as these have negative values as well and also these are rates. Can you please help ?

Regards
Attachments
zbl - afterzbl.wf1
(15.42 KiB) Downloaded 41 times

dakila
Posts: 266
Joined: Tue Nov 24, 2015 4:57 pm

Re: Time varying SVAR

Postby dakila » Thu Nov 17, 2016 4:01 pm

you have the multicollinearity problem. the correlation coefficient is almost minus one between real rates and cpi

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

Re: Time varying SVAR

Postby ali_Economist » Fri Nov 18, 2016 3:01 am

Yes, you are absolutely right, actually the CPI and unemployment are dependent variables and real rates are independent variables, so in simple regression it should not be the case of multicolinarity. Can you please suggest me how I can solve this issue in TVSVAR ? Thanks again for help.

Regards

Ali

dakila
Posts: 266
Joined: Tue Nov 24, 2015 4:57 pm

Re: Time varying SVAR

Postby dakila » Fri Nov 18, 2016 4:58 am

Ali,

Unfortunately, all variables are dependent (endogenous) variables for TVSVAR. There is no independent (exogenous) variables except constant. Instead of TVSVAR you should consider TAR model.

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

Re: Time varying SVAR

Postby ali_Economist » Thu Nov 24, 2016 10:11 am

Hi,

I am wondering what will be the size of V Matrix if I have 4 instead of three variables ? will it be the same as mentioned in the document or will be add extra row or column ? Please guide.

Regards

Ali

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

Re: Time varying SVAR

Postby ali_Economist » Mon Nov 28, 2016 3:06 am

Please reply to my previous message, I want to include 4 variables instead of 3. If needed how I can add into the V Matrix equation given in the document?

Regards

Ali

dakila
Posts: 266
Joined: Tue Nov 24, 2015 4:57 pm

Re: Time varying SVAR

Postby dakila » Mon Nov 28, 2016 3:14 pm

If you choose 4 variables then the size of V matrix would be 4x4.

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

Re: Time varying SVAR

Postby ali_Economist » Mon Dec 05, 2016 4:35 am

Thank you very much, what about At the lower triangular matrix, given that we have 4 variables and also a constant, would it be 5 x 5 or 4x4?

Regards and best wishes

Ali

dakila
Posts: 266
Joined: Tue Nov 24, 2015 4:57 pm

Re: Time varying SVAR

Postby dakila » Mon Dec 05, 2016 3:48 pm

4x4

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

Re: Time varying SVAR

Postby ali_Economist » Tue Dec 13, 2016 4:49 am

Hi, once again need your help, it is giving near singular matrix. I got 5 variables and the stock market in the independent variable I am focusing on. Please help.

Regards

Ali
Attachments
macrovaraibles.wf1
(16.73 KiB) Downloaded 40 times

adrangi
Posts: 18
Joined: Sat Dec 05, 2009 5:56 pm

Re: Time varying SVAR

Postby adrangi » Wed Dec 21, 2016 10:18 am

Hi. I've reviewed the postings on the TVSVAR add-in. Very helpful, thanks. two issues:

1. I could not find the example data.

2. I'm using EV 9.5, my data runs from 2001m02-2016m02. I chose 2004m02, 2009m02 and 2016m02 for my date selection vector, no commas. I am getting the error message" Matrix vector index out of range." I noticed you already explained this on the forum!! Any ideas? Thanks much. Best, Bahram

dakila
Posts: 266
Joined: Tue Nov 24, 2015 4:57 pm

Re: Time varying SVAR

Postby dakila » Thu Dec 22, 2016 12:25 am

1. For example C:\Users\...\Documents\EViews Addins\TVSVAR

2. Could you post the data?

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

Re: Time varying SVAR

Postby ali_Economist » Thu Dec 22, 2016 3:41 am

Hi,
how to put more than one options in the command line? can you please help me with format?

Regards

Ali

adrangi
Posts: 18
Joined: Sat Dec 05, 2009 5:56 pm

Re: Time varying SVAR

Postby adrangi » Thu Dec 22, 2016 12:12 pm

Hi. Thanks much. Please see my worksheet copy
workfilepage.WF1
(145.01 KiB) Downloaded 48 times
. I'm using the pc version of the variables, i.e., %change. I copied the page of the workfile so that you can even see the results I got after the error message. Appreciate any insights. Thanks much. Best, B


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