Threshold Structural VAR
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Re: Threshold Structural VAR
Can you run the example program? Could you post the workfile?
Re: Threshold Structural VAR
Hi,
How can I generate cumulative generalized impulse response function?
Thanks
How can I generate cumulative generalized impulse response function?
Thanks
Re: Threshold Structural VAR
Now you can do it. Check the add-in. I hope it will posted on the web soon.
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Re: Threshold Structural VAR
dakila wrote:Can you run the example program? Could you post the workfile?
Attached. rgdp is the threshold variable. want to run a threshold SVAR.
- Attachments
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- example.wf1
- (23.03 KiB) Downloaded 397 times
Re: Threshold Structural VAR
Doreenruba, you need to adjust sample size manually. Because the first observation (2000q1) is missing. So change sample 2000q1 2015q4 to 2000q2 2015q4.
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Re: Threshold Structural VAR
dakila wrote:Doreenruba, you need to adjust sample size manually. Because the first observation (2000q1) is missing. So change sample 2000q1 2015q4 to 2000q2 2015q4.
Thanks. Help so far appreciated. I have run the command thsvar(girf=1, sample="2001q1 2015q4") 2 rgdp @ rgdp pinv agr reer tot using sample 2001q1 2015q4. I got the attached results. But i don't see IRs in graphs. Did I do the right thing? It's the first time I am using thsvar. What important things should i look out for?
- Attachments
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- example_1.wf1
- (437.32 KiB) Downloaded 370 times
Re: Threshold Structural VAR
I think you forget to include the response variable for the impulse response analysis.
After the threshold variable (rgdp) type the response variable. For example: thsvar(girf=1, sample="2001q1 2015q4") 2 rgdp tot @ rgdp pinv agr reer tot
If you are not sure about the command then use the dialogue from the Add-ins menu. That would be easy to implement ThSVAR.
After the threshold variable (rgdp) type the response variable. For example: thsvar(girf=1, sample="2001q1 2015q4") 2 rgdp tot @ rgdp pinv agr reer tot
If you are not sure about the command then use the dialogue from the Add-ins menu. That would be easy to implement ThSVAR.
Re: Threshold Structural VAR
Hello,
What is the use of cumulative generalized IRFS and on what respects do they differ from the GIRFs?
Could you give me a bit explanation about this,please?
Thanks,
What is the use of cumulative generalized IRFS and on what respects do they differ from the GIRFs?
Could you give me a bit explanation about this,please?
Thanks,
Re: Threshold Structural VAR
The former accumulate shocks and the latter is not. If VAR is estimated with first order differrenced variables, cumulative GIRF is approprate. Because it would be easy to explain the IRF graph.
if you estimated VAR model then do not do cumulative GIRF. It does not make sense.
if you estimated VAR model then do not do cumulative GIRF. It does not make sense.
Re: Threshold Structural VAR
Hi,
I read the Balke's paper and noticed that he run the VAR in first difference and then generates the generalized impulse response functions (not CUMULATIVE generalized IRFs), If I am not wrong.
How do you see this thing,please?
Thanks
I read the Balke's paper and noticed that he run the VAR in first difference and then generates the generalized impulse response functions (not CUMULATIVE generalized IRFs), If I am not wrong.
How do you see this thing,please?
Thanks
Re: Threshold Structural VAR
Hi,
What does C1 represents? is zat positive one standard deviation or positive 2 standard deviation? I hope it is not negative shock C1.
Thanks.
What does C1 represents? is zat positive one standard deviation or positive 2 standard deviation? I hope it is not negative shock C1.
Thanks.
Re: Threshold Structural VAR
I don't know. Maybe you need to update your Eviews.
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- Joined: Thu Jul 14, 2016 1:18 pm
Re: Threshold Structural VAR
Hi,
Could you verify if the GIRF function in the ThSVAR add-in displays cumulative generalized impulse response functions or not? If not, is there a way to export the underlying values to Excel?
Thanks
Could you verify if the GIRF function in the ThSVAR add-in displays cumulative generalized impulse response functions or not? If not, is there a way to export the underlying values to Excel?
Thanks
Re: Threshold Structural VAR
Did you update the thsvar add-in? There is option to implement the cumulative GIRF.
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- Joined: Thu Jul 14, 2016 1:18 pm
Re: Threshold Structural VAR
I had not yet updated the Add-in, so thank you for the suggestion.
What syntax should we use in the command line to estimate cumulative generalized impulse functions? Previously it was girf=1. Is it not cgirf=1? Or something else?
Thanks again!
What syntax should we use in the command line to estimate cumulative generalized impulse functions? Previously it was girf=1. Is it not cgirf=1? Or something else?
Thanks again!
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