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### Re: Threshold Structural VAR

Posted: Sun Aug 20, 2017 12:47 am
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
thsvar workfile.WF1

Best.

### Re: Threshold Structural VAR

Posted: Sun Aug 20, 2017 2:04 am
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

Posted: Sun Aug 20, 2017 2:14 am
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.

### Re: Threshold Structural VAR

Posted: Fri Sep 08, 2017 12:26 am
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

### Re: Threshold Structural VAR

Posted: Mon Sep 11, 2017 3:40 pm
thanks for the comment

### Re: Threshold Structural VAR

Posted: Thu Oct 19, 2017 7:10 am

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

Posted: Fri Oct 20, 2017 5:16 pm
Hello Edgar,

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=1var var01.ls 1 4 d1gdp d1pgdp fyff cpbill1 `

Then use eviews VAR model test.

### Re: Threshold Structural VAR

Posted: Tue Oct 24, 2017 1:09 pm
Thank you very much Dakila!

### Re: Threshold Structural VAR

Posted: Thu Nov 16, 2017 6:18 am
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,

### Re: Threshold Structural VAR

Posted: Thu Nov 16, 2017 7:31 am
No

### Re: Threshold Structural VAR

Posted: Wed Nov 22, 2017 6:59 pm
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!

### Re: Threshold Structural VAR

Posted: Wed Nov 22, 2017 7:38 pm
Which version of EViews?

### Re: Threshold Structural VAR

Posted: Wed Nov 22, 2017 7:47 pm
EViews Gareth wrote:Which version of EViews?

Eviews 7.2

### Re: Threshold Structural VAR

Posted: Wed Nov 22, 2017 7:57 pm
You need a later version to run this add in

### Re: Threshold Structural VAR

Posted: Wed Nov 22, 2017 10:43 pm
EViews Gareth wrote:You need a later version to run this add in

Thank you very much!
Now I can run this program.