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Re: Threshold Structural VAR

Posted: Sun Aug 20, 2017 12:47 am
by nasa
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
(151.16 KiB) Downloaded 13 times


Best.

Re: Threshold Structural VAR

Posted: Sun Aug 20, 2017 2:04 am
by dakila
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
by nasa
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
by nasa
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
by dakila
thanks for the comment

Re: Threshold Structural VAR

Posted: Thu Oct 19, 2017 7:10 am
by EdgarM
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

Re: Threshold Structural VAR

Posted: Fri Oct 20, 2017 5:16 pm
by dakila
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=1
var 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
by EdgarM
Thank you very much Dakila!

Re: Threshold Structural VAR

Posted: Thu Nov 16, 2017 6:18 am
by banhbengconuong
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
by dakila
No