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Re: Threshold Structural VAR

Posted: Wed Dec 06, 2017 8:23 am
by ege_man
Dear
I estimate a threshold VAR model using this addin but I would like to print them into table to see the differences in the upper and lower regimes. But the results are just presented in terms of Figure. Is there command for this?
Thanks for your help

Re: Threshold Structural VAR

Posted: Wed Dec 06, 2017 4:17 pm
by dakila
Not yet.

Re: Threshold Structural VAR

Posted: Mon Dec 11, 2017 1:34 am
by bizhenyu1234
Dear,

Thanks for the useful add-in. Anyway, I have problem when running the threshold VAR. I got the error message "68 is not a valid index for vector-series-coefficient D1V". May I know how to solve this problem? I have 69 observations.

Thank you!

Re: Threshold Structural VAR

Posted: Tue Dec 12, 2017 5:34 pm
by dakila
If you have missing observations then adjust the sample size.

Re: Threshold Structural VAR

Posted: Sat Dec 16, 2017 2:59 am
by ege_man
I opened the prg file of the but it is encrypted, i would like to just tabulate the results or graph just positive responses. Is it possible to remove negative responses in the graph?
Regards

Re: Threshold Structural VAR

Posted: Tue Jan 02, 2018 5:34 am
by Shwan
Hi, thank you very much for this usefull add in. What I understand is that this add in estimates a threshold SVAR, so the errors are uncorrelated structural shocks?
however my concern is about restrictions in SVAR, there is no possibility to impose the short and long run restrictions on SVAR when using the THSVAR?
Thanks

Re: Threshold Structural VAR

Posted: Tue Jan 02, 2018 5:49 pm
by dakila
It estimates the Generalized IRF. It is not possible to impose SR or LR restrictions.

Re: Threshold Structural VAR

Posted: Mon Jan 29, 2018 8:36 pm
by lubamar
Hi Dakila

Please, can you help me with a problem? I'm trying to estimate a T-var, but i'm getting "division by zero" error.

The T-var i'm trying to estimate is "dlcambio dlpib dlselic lipca lexp2" with 4 lags .

Where: Dlcambio- Exchange rate
DlPIB- Brazilian GDP
DLSelic- Brazilian interest rate
LEXP2- Brazilian 2 years inflation expectation
LIPCA-Brazilian Inflation

My threshold variable is lexp2

Bests

Re: Threshold Structural VAR

Posted: Tue Jan 30, 2018 12:11 am
by dakila
The sample size is very short. Try to reduce the lag number. For example reduce the lag to 2.