Time varying SVAR

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dakila
Posts: 275
Joined: Tue Nov 24, 2015 4:57 pm

Re: Time varying SVAR

Postby dakila » Mon Sep 19, 2016 3:47 pm

Actually there is no restriction on maximum endogenous variables. But It is very computationally demanding since it uses MCMC method. That's why you got out of memory and sometimes near singular matrix. So use a computer with core i7 and 8 gb ram.

You can use the command interface instead of dialog interface. There is no restriction on the date selection vector. For example, use the following command:

Code: Select all

svector dtsel=@wsplit("1975q1 1981q3 1996q1")
tvsvar(comp=1) 2 40 dtsel interest @ inflation unempl interest

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

Re: Time varying SVAR

Postby asif_1210 » Mon Sep 19, 2016 8:51 pm

Hi, I'm also facing the same issues, but my computer have 8 GB ram and its i5. Does it still too sensitive for computations since I'm also getting near singular matrix problem with six endogenous variables.

dakila
Posts: 275
Joined: Tue Nov 24, 2015 4:57 pm

Re: Time varying SVAR

Postby dakila » Mon Sep 19, 2016 9:09 pm

I can not solve the near singularity problem. It is related your research, more specifically your choice of variables and the prior parameters.

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

Re: Time varying SVAR

Postby nadybe » Mon Sep 19, 2016 11:05 pm

Thank you davaa. Actually i was already running the program using the Line of command. I am using à virtual computer with Intel core i5 and 16 giga of ram, but i think that using windows as à virtual machine maybe limits its capabilities. I'll try on different computer to see if that changes someting. I got 2 more question, do you have to change the sample size on the Line command? How do you know what are the Best priors suitable with your data? As i am working on the global liquidité topic i know that nobody ever used à tvpvar before so i cannot based my priors on previous research.
Best regards

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

Re: Time varying SVAR

Postby asif_1210 » Tue Sep 20, 2016 3:34 am

Hi, can anyone please help me as I'm consistently getting msg of 'illegal date vector'. I've created the date vector using the suggested command.

dakila
Posts: 275
Joined: Tue Nov 24, 2015 4:57 pm

Re: Time varying SVAR

Postby dakila » Tue Sep 20, 2016 3:14 pm

if you are using the dialog interface (menu) do not use the command for date selection vector. Just put dates on the box. For example, enter 1975q1 1981q3 1996q1 on the box (date selection vector)

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

Re: Time varying SVAR

Postby asif_1210 » Thu Sep 22, 2016 3:54 am

Hi, is there any method by which we can we can have data series of IRFs generated through TV SVAR?

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

Re: Time varying SVAR

Postby nadybe » Fri Sep 23, 2016 5:43 am

Hello Davaa,

I constantly have the "size don't match matrix function" error, what does it mean and how do i fix this issue?

Best regards

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

Re: Time varying SVAR

Postby adrangi » Wed Oct 26, 2016 10:16 pm

Hi. I'm new to add-ins. I tried to download tv_svar and open the prog in a workfile on eviews 9.5. Ended up with three files, tvsavr.prg, tvsavr.install.prg and tvsavr.ex.prg. Do I need to install before running the program? How do I install it? Any tips are appreciated. Thanks.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
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Joined: Tue Sep 16, 2008 5:38 pm

Re: Time varying SVAR

Postby EViews Gareth » Wed Oct 26, 2016 10:27 pm

Follow us on Twitter @IHSEViews

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

Re: Time varying SVAR

Postby adrangi » Thu Oct 27, 2016 11:13 am

EViews Gareth wrote:http://www.eviews.com/help/helpintro.html#page/content%2Faddins-Getting_Started_with_Add-ins.html


Thanks very much. Best, BA

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

Re: Time varying SVAR

Postby adrangi » Thu Oct 27, 2016 7:30 pm

Hi. I read the pdf file for the TV-SVAR model. Does the "impulse variable" mean the endogenous variable that is being shocked? Don't we normally shock all endogenous variables and check the response by others in VARS? Any help is much appreciated. Thanks.

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

Re: Time varying SVAR

Postby nadybe » Fri Oct 28, 2016 1:48 am

The impulse variable is the variable that will affect all the other endogenous variables including itself, you can specify more than one impulse variable and see the impulses responses fonctions of the other endogenous variables as in the other Var model. If you need tips just message me i can help you.

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

Re: Time varying SVAR

Postby adrangi » Fri Oct 28, 2016 11:02 am

Hi. Thanks much. Clarifies it. Best, BA

marti
Posts: 1
Joined: Sat Nov 12, 2016 7:55 am

Re: Time varying SVAR

Postby marti » Sat Nov 12, 2016 8:17 am

Hi,

In April there was a question regarding saving the results as series, so that they can be exported. As you replied it would be possible with the release of version 2.0. I would like to ask if you are going to include the residuals as series as well despite the graph of the standard dev. When can we expect the new version?

Thanks,
Marti


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