Threshold Structural VAR
Moderators: EViews Gareth, EViews Moderator, EViews Esther
Re: Threshold Structural VAR
Hi,
Here is my work file and I think based on the formula, the following is the result.Is that right,please?
The endogenous variables are: dgdp,dspending,dtax and the threshold variable and response variable is dgdp and the lag length for the VAR is 2.
Degrees of freedom=N-1.
b = 0.15*(2014q2-1960q1+1)+3-217
= 0.15*(218+1)+3-217
=-181.15
Best.
Here is my work file and I think based on the formula, the following is the result.Is that right,please?
The endogenous variables are: dgdp,dspending,dtax and the threshold variable and response variable is dgdp and the lag length for the VAR is 2.
Degrees of freedom=N-1.
b = 0.15*(2014q2-1960q1+1)+3-217
= 0.15*(218+1)+3-217
=-181.15
Best.
Re: Threshold Structural VAR
I don't think so. The degrees of freedom is just for adjustment of the sample size. It should not be big number. It may be between 0 to 5.
Re: Threshold Structural VAR
ok,
may be the formula is wrong or what is my wrong here is then?
plus can i get the impulses result in table form,please?
Best.
may be the formula is wrong or what is my wrong here is then?
plus can i get the impulses result in table form,please?
Best.
Re: Threshold Structural VAR
Hi,
I think that the thsvar will be very useful add in for econometricians if it can include confidence intervals based on Monte Carlo simulations for the GIRFs. It could help them to better interpret the results.
Best
I think that the thsvar will be very useful add in for econometricians if it can include confidence intervals based on Monte Carlo simulations for the GIRFs. It could help them to better interpret the results.
Best
Re: Threshold Structural VAR
thanks for the comment
Re: Threshold Structural VAR
Hello, thanks in advance for the add-in it was really usefull.
I have a question: When i estimate the TVAR with 3 dependent variables, i got 6 outputs instead of only one. I was replied that if i gather all the information in one matrix it was the same, but when i try to analize for example, serial correlation, the results are different for each regression.
How can i merge all of them in one test to unify the results? (or where can i study it, i've been searching in the web for a few days now without results).
Best regards,
Edgar
I have a question: When i estimate the TVAR with 3 dependent variables, i got 6 outputs instead of only one. I was replied that if i gather all the information in one matrix it was the same, but when i try to analize for example, serial correlation, the results are different for each regression.
How can i merge all of them in one test to unify the results? (or where can i study it, i've been searching in the web for a few days now without results).
Best regards,
Edgar
Re: Threshold Structural VAR
Hello Edgar,
You can do it easily. For example, first estimate VAR model using the following code or the dialog box:
Then use eviews VAR model test.
You can do it easily. For example, first estimate VAR model using the following code or the dialog box:
Code: Select all
smpl 1960q1 1997q3 if d1=1
var var01.ls 1 4 d1gdp d1pgdp fyff cpbill1
Then use eviews VAR model test.
Re: Threshold Structural VAR
Thank you very much Dakila!
-
- Posts: 15
- Joined: Mon Apr 25, 2011 8:31 pm
Re: Threshold Structural VAR
Dear Dakila,
Thanks so much for making the add-in. I would like to ask whether we can have 2 thresholds for a variable?
Bests,
Thanks so much for making the add-in. I would like to ask whether we can have 2 thresholds for a variable?
Bests,
-
- Posts: 4
- Joined: Wed Nov 22, 2017 3:26 am
Re: Threshold Structural VAR
Hello,
When I run this program, it shows error message "@ROW is not a member or procedure of SLAG".
Do you know how to deal with this problem?
Thank you very much!
When I run this program, it shows error message "@ROW is not a member or procedure of SLAG".
Do you know how to deal with this problem?
Thank you very much!
-
- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13319
- Joined: Tue Sep 16, 2008 5:38 pm
-
- Posts: 4
- Joined: Wed Nov 22, 2017 3:26 am
Re: Threshold Structural VAR
EViews Gareth wrote:Which version of EViews?
Eviews 7.2
-
- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13319
- Joined: Tue Sep 16, 2008 5:38 pm
Re: Threshold Structural VAR
You need a later version to run this add in
Follow us on Twitter @IHSEViews
-
- Posts: 4
- Joined: Wed Nov 22, 2017 3:26 am
Re: Threshold Structural VAR
EViews Gareth wrote:You need a later version to run this add in
Thank you very much!
Now I can run this program.
Who is online
Users browsing this forum: No registered users and 30 guests