Threshold Structural VAR
Moderators: EViews Gareth, EViews Moderator, EViews Esther
Re: Threshold Structural VAR
Yes. You are right (cgirf=1).

 Posts: 7
 Joined: Thu Jul 14, 2016 1:18 pm
Re: Threshold Structural VAR
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 Addin? If not, do you have any suggestions on how to do so?
Thanks again.
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 Addin? If not, do you have any suggestions on how to do so?
Thanks again.
Re: Threshold Structural VAR
1) the particular regime
2) No. sorry I have no suggestions.
2) No. sorry I have no suggestions.
Re: Threshold Structural VAR
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"?
"invalid (or out of range) coefficient or matrix 0"?
Re: Threshold Structural VAR
I have no idea. Could you post the data file?
Re: Threshold Structural VAR
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.
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 116 times
Re: Threshold Structural VAR
What is your threshold variable?
Re: Threshold Structural VAR
Hello,
How can I create confidence bands using monte carlo simulations for the cumulative generalized IRFs?
Many thanks,
Naser
How can I create confidence bands using monte carlo simulations for the cumulative generalized IRFs?
Many thanks,
Naser
Re: Threshold Structural VAR
It is impossible for the addinn.
Re: Threshold Structural VAR
Do I need to expect in the near time from Eviews?
What about creating confidence bands using monte carlo simulations for linear structural VAR(shoutrun)? Is that possible, please?
What about creating confidence bands using monte carlo simulations for linear structural VAR(shoutrun)? Is that possible, please?
Re: Threshold Structural VAR
dakila wrote:What is your threshold variable?
It is GDP.
Re: Threshold Structural VAR
It is working. you need the time series structure.
For example:
For example:
Code: Select all
pagestruct(freq=m, start=1990)
thsvar(girf=1) 2 gdp gdp @ gdp govex
Re: Threshold Structural VAR
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?
Thank you for all the help!
Edit: solved my problem. Final question: can one obtain estimates of coefficients and significance levels?
Re: Threshold Structural VAR
Hello fellow eviewers, this is my first forum post!
I seek some help regarding model selection in the thsVARcase.
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
I seek some help regarding model selection in the thsVARcase.
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
Re: Threshold Structural VAR
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.
Check it is sensitive to the length of MA and delay parameter.
Who is online
Users browsing this forum: No registered users and 1 guest