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LOCALIRFS

Posted: Sat Jun 04, 2016 3:55 am
by trubador
This thread is about localirfs add-in for VAR-type models. It is a complementary tool for VAR object just as hdecomp and svarpatterns add-ins.

The add-in allows you to produce impulse responses by local projection method introduced by Jordà (2005) and generate associated confidence bands as detailed in Jordà (2009). For further instruction, please see the documentation that comes with the add-in.

There is also an example file available, which outlines use of add-in through Jordà (2009) study.

Re: LOCALIRFS

Posted: Sat Jun 04, 2016 11:26 pm
by dakila
Good job. Thank you very much, Erin for the very useful, interesting add-in.

Re: LOCALIRFS

Posted: Tue Sep 13, 2016 2:00 pm
by sunrrcn
Thanks for this add-in. I installed it on my eviews 9. I estimated a VAR model and then used this add-in. In so doing, I followed http://blog.eviews.com/2016/06/impulse- ... ns_43.html
However, the local projections IRFGRPHs are those without any responses reported. Only VAR IRFs are reported. Those individual graphs for LP IRFs are simply graphs with a zero line plus frames, with response-matrix of zeros.

I tried different datasets and different VARs, but ended with the same LP IRFs.

Did I do something wrong? Can somebody help? I really need it for my ongoing project.

Thanks a lot.

Re: LOCALIRFS

Posted: Wed Sep 14, 2016 8:48 am
by sunrrcn
Dear Trubador,
Have you tried out this add-in? Any hint on how it works would be of my great appreciation.
I tried the example file as well and got the localirf of all zeros.
Thanks.