Threshold Structural VAR

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dakila
Posts: 259
Joined: Tue Nov 24, 2015 4:57 pm

Re: Threshold Structural VAR

Postby dakila » Tue Jan 10, 2017 4:07 pm

Yes. You are right (cgirf=1).

jwojnilower
Posts: 7
Joined: Thu Jul 14, 2016 1:18 pm

Re: Threshold Structural VAR

Postby jwojnilower » Thu Jan 12, 2017 1:55 pm

Thank you. A couple other questions (at the moment):

1) In calculating the IRFs, does the standard deviation of a shock reflect the standard deviation of a variable during that particular regime or its standard deviation over the entire sample?

2) Is it possible to compare the information criteria of different models using the Add-in? If not, do you have any suggestions on how to do so?

Thanks again.

dakila
Posts: 259
Joined: Tue Nov 24, 2015 4:57 pm

Re: Threshold Structural VAR

Postby dakila » Fri Jan 13, 2017 3:36 pm

1) the particular regime
2) No. sorry I have no suggestions.

Ovis
Posts: 4
Joined: Thu Mar 30, 2017 4:55 am

Re: Threshold Structural VAR

Postby Ovis » Thu Mar 30, 2017 10:49 am

Hello, I have a question. What might be the problem if I constantly receive the following error after more than 100 recursions:
"invalid (or out of range) coefficient or matrix 0"?

dakila
Posts: 259
Joined: Tue Nov 24, 2015 4:57 pm

Re: Threshold Structural VAR

Postby dakila » Fri Mar 31, 2017 12:04 am

I have no idea. Could you post the data file?

Ovis
Posts: 4
Joined: Thu Mar 30, 2017 4:55 am

Re: Threshold Structural VAR

Postby Ovis » Tue Apr 04, 2017 8:53 am

Thanks for the reply,

and sorry for being gone a bit. This is my excel file with US government expenditure and GDP. I do the ordering: govex, gdp and get the error message.
Attachments
US.xlsx
(14.7 KiB) Downloaded 15 times

dakila
Posts: 259
Joined: Tue Nov 24, 2015 4:57 pm

Re: Threshold Structural VAR

Postby dakila » Tue Apr 04, 2017 7:41 pm

What is your threshold variable?

nasa
Posts: 39
Joined: Tue Aug 02, 2016 12:41 am

Re: Threshold Structural VAR

Postby nasa » Wed Apr 05, 2017 1:48 am

Hello,

How can I create confidence bands using monte carlo simulations for the cumulative generalized IRFs?

Many thanks,
Naser

dakila
Posts: 259
Joined: Tue Nov 24, 2015 4:57 pm

Re: Threshold Structural VAR

Postby dakila » Wed Apr 05, 2017 6:55 am

It is impossible for the add-inn.

nasa
Posts: 39
Joined: Tue Aug 02, 2016 12:41 am

Re: Threshold Structural VAR

Postby nasa » Wed Apr 05, 2017 7:02 am

Do I need to expect in the near time from Eviews?

What about creating confidence bands using monte carlo simulations for linear structural VAR(shout-run)? Is that possible, please?

Ovis
Posts: 4
Joined: Thu Mar 30, 2017 4:55 am

Re: Threshold Structural VAR

Postby Ovis » Wed Apr 05, 2017 4:01 pm

dakila wrote:What is your threshold variable?


It is GDP.

dakila
Posts: 259
Joined: Tue Nov 24, 2015 4:57 pm

Re: Threshold Structural VAR

Postby dakila » Thu Apr 06, 2017 8:27 am

It is working. you need the time series structure.
For example:

Code: Select all

pagestruct(freq=m, start=1990)
thsvar(girf=1) 2 gdp gdp @ gdp govex

Ovis
Posts: 4
Joined: Thu Mar 30, 2017 4:55 am

Re: Threshold Structural VAR

Postby Ovis » Tue Apr 18, 2017 5:03 am

Can you elaborate a bit on how you made it work? It shows me "syntax error in control line". Do I need to have a variable indicating time according to which the program is guided? How exactly did you make it work with my data?

Thank you for all the help!

Edit: solved my problem. Final question: can one obtain estimates of coefficients and significance levels?

OlleWar
Posts: 1
Joined: Wed Apr 26, 2017 4:25 am

Re: Threshold Structural VAR

Postby OlleWar » Wed May 10, 2017 8:57 am

Hello fellow eviewers, this is my first forum post!

I seek some help regarding model selection in the thsVAR-case.

Since eviews returns both outputs for the upper and the lower regime, I can't wrap my head around how to compare different model specifications with the usual information criterias. Since a new threshold will be estimated if you change model specifications, the number of observations will change in each regime and the criterias cannot be directly compared.

So basically my question is; how do you go about selecting the appropriate lag length, length of the moving avarage and delay parameter? The solution may be trivial but as for now I cannot wrap my head around it.

Thank you in advance,
OlleWar

dakila
Posts: 259
Joined: Tue Nov 24, 2015 4:57 pm

Re: Threshold Structural VAR

Postby dakila » Wed May 10, 2017 6:09 pm

I think that the best way to select the length of moving average and delay parameters is try to look at the impulse response functions.
Check it is sensitive to the length of MA and delay parameter.


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