Time varying SVAR

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asif_1210
Posts: 9
Joined: Wed Sep 07, 2016 3:57 am

Re: Time varying SVAR

Postby asif_1210 » Wed Sep 07, 2016 4:00 am

Can anyone please help me find example files/folder about TV SVAR? Eviews Add-in page directly install the program to eviews, and not showing any folder/zip file.

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

Re: Time varying SVAR

Postby dakila » Wed Sep 07, 2016 4:03 am

C:\Users\...\Documents\EViews Addins\TVSVAR

asif_1210
Posts: 9
Joined: Wed Sep 07, 2016 3:57 am

Re: Time varying SVAR

Postby asif_1210 » Wed Sep 07, 2016 4:21 am

:? thanks.

sakisgw3
Posts: 4
Joined: Sat Sep 10, 2016 1:24 am

Re: Time varying SVAR

Postby sakisgw3 » Sat Sep 10, 2016 1:29 am

Hello, i am trying to run a between two time series.

Do the series need to be stationary? Also i'm getting a error message "Vector assigned to sym"

Any suggestions?

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

Re: Time varying SVAR

Postby dakila » Sat Sep 10, 2016 2:01 am

No. Could you post the workfile?

asif_1210
Posts: 9
Joined: Wed Sep 07, 2016 3:57 am

Re: Time varying SVAR

Postby asif_1210 » Sat Sep 10, 2016 10:22 pm

hi, i'm trying to restrict Gibbs sampling iterations but program is still running for 1000 iterations, how do i control for iterations?

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

Re: Time varying SVAR

Postby dakila » Sat Sep 10, 2016 11:52 pm

There is a bug. You can use the dialog interface instead of the command interface. I will fix it soon.

sakisgw3
Posts: 4
Joined: Sat Sep 10, 2016 1:24 am

Re: Time varying SVAR

Postby sakisgw3 » Sun Sep 11, 2016 3:37 am

dakila wrote:No. Could you post the workfile?

Thank you for your response.

I have attached the workfile. I experimented a bit with the example and this error does not occur when i include three time series in a var. However, after i tried to run my var(3) at the end i get a message saying "gm01 is not the same length as the sample" and no figures are presented.

EDIT: I forgot to include the date vector. You can use this: svector date=@wsplit("2009:03 2013:07")
Attachments
draft1.wf1
(11.93 KiB) Downloaded 44 times

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

Re: Time varying SVAR

Postby dakila » Sun Sep 11, 2016 6:00 am

You are right. Try to put at least 3 variables.
If there are missing observations with NA then it will give you the error ("gm01 is not the same length as the sample").
So adjust your sample. For example, use pagestruct command or click on the range.
I will fix this bug soon.

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

Re: Time varying SVAR

Postby dakila » Wed Sep 14, 2016 2:44 pm

The tvsvar add-in is updated. It includes some fixes.

asif_1210
Posts: 9
Joined: Wed Sep 07, 2016 3:57 am

Re: Time varying SVAR

Postby asif_1210 » Thu Sep 15, 2016 3:23 am

Hi, Thanks for updation, but it is still giving some msg like 'GM01 is not the same lenght as sample lenght'.. What does this mean can anyone help please?

asif_1210
Posts: 9
Joined: Wed Sep 07, 2016 3:57 am

Re: Time varying SVAR

Postby asif_1210 » Thu Sep 15, 2016 4:16 am

Ok now its working. I figured out the problem. But could you please guide me about IRs. Are they accumulated or not? How can I have data series of impulse responses generated through TV SVAR.

nadybe
Posts: 9
Joined: Wed Mar 30, 2016 7:52 am

Re: Time varying SVAR

Postby nadybe » Thu Sep 15, 2016 3:55 pm

Hello Davaa,
I have some problems with my data, i mainly use stationary variables and your program returns a near singular matrix error, i also tried using data in level (and transformed in logarithm), reducing the number of endogenous variables, changing the range but the problem remain the same. Please see my workfile below. For your information the impulse variable is the global liquidity indicator.

Thank you davaa.

EDIT: I made a mistake concerning the Global liquidity indicator so i fixed it. I add also the growth rate version and HP filtered version of my data, which return the near singular matrix error too.

tvsvar_first_country.wf1
(74.22 KiB) Downloaded 44 times
Last edited by nadybe on Fri Sep 16, 2016 2:35 pm, edited 2 times in total.

nadybe
Posts: 9
Joined: Wed Mar 30, 2016 7:52 am

Re: Time varying SVAR

Postby nadybe » Fri Sep 16, 2016 5:08 am

I forgot to specify something, The forex and reserves are basically the same variables so you should include just one of them in your specification.

Thank you davaa.

edit: I also transformed the data into growth rate but i get the same error (near singular matrix)

EDIT 2: I managed to launch the program with my data (stationary and in level) but i have new error after the iteration ends : "size do not match in matrix function" WHAT SHOULD I DO TO FIX THIS???

Best regards

nadybe
Posts: 9
Joined: Wed Mar 30, 2016 7:52 am

Re: Time varying SVAR

Postby nadybe » Mon Sep 19, 2016 1:52 pm

Hello Davaa
I managed to get results, but i have one last question, What is the maximum endogenous variables you can use with your program, i have out of memory and sometimes near singular matrix errors when i put more than 4 endogenous variables in the program. Also the date selection vector cannot support more than approx 7 dates for me, at least considering my data.

Best regards


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