Time varying SVAR
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Re: Time varying SVAR
I will try to include the residuals. I hope it will be released in 2 weeks.

 Posts: 21
 Joined: Sat Aug 27, 2016 9:55 am
Re: Time varying SVAR
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
Regards
 Attachments

 zbl  afterzbl.wf1
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Re: Time varying SVAR
you have the multicollinearity problem. the correlation coefficient is almost minus one between real rates and cpi

 Posts: 21
 Joined: Sat Aug 27, 2016 9:55 am
Re: Time varying SVAR
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
Regards
Ali
Re: Time varying SVAR
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.
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.

 Posts: 21
 Joined: Sat Aug 27, 2016 9:55 am
Re: Time varying SVAR
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
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

 Posts: 21
 Joined: Sat Aug 27, 2016 9:55 am
Re: Time varying SVAR
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
Regards
Ali
Re: Time varying SVAR
If you choose 4 variables then the size of V matrix would be 4x4.

 Posts: 21
 Joined: Sat Aug 27, 2016 9:55 am
Re: Time varying SVAR
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
Regards and best wishes
Ali

 Posts: 21
 Joined: Sat Aug 27, 2016 9:55 am
Re: Time varying SVAR
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
Regards
Ali
 Attachments

 macrovaraibles.wf1
 (16.73 KiB) Downloaded 36 times
Re: Time varying SVAR
Hi. I've reviewed the postings on the TVSVAR addin. Very helpful, thanks. two issues:
1. I could not find the example data.
2. I'm using EV 9.5, my data runs from 2001m022016m02. 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
1. I could not find the example data.
2. I'm using EV 9.5, my data runs from 2001m022016m02. 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
Re: Time varying SVAR
1. For example C:\Users\...\Documents\EViews Addins\TVSVAR
2. Could you post the data?
2. Could you post the data?

 Posts: 21
 Joined: Sat Aug 27, 2016 9:55 am
Re: Time varying SVAR
Hi,
how to put more than one options in the command line? can you please help me with format?
Regards
Ali
how to put more than one options in the command line? can you please help me with format?
Regards
Ali
Re: Time varying SVAR
Hi. Thanks much. Please see my worksheet copy
. 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, BWho is online
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