Diebold-Yilmaz index

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dakila
Posts: 337
Joined: Tue Nov 24, 2015 4:57 pm

Diebold-Yilmaz index

Postby dakila » Wed Apr 25, 2018 4:32 am

This thread is about the dyindex add-in that estimates the Diebold-Yilmaz index of spillover using forecast error variance decomposition method of a VAR model.

paolo.zanghieri
Posts: 11
Joined: Wed Mar 05, 2014 10:52 am

Re: Diebold-Yilmaz index

Postby paolo.zanghieri » Mon Apr 30, 2018 1:29 am

Great. Very useful add in. Is there a way to recover the time series of the pairwise interconnection measures?
Thanks

dakila
Posts: 337
Joined: Tue Nov 24, 2015 4:57 pm

Re: Diebold-Yilmaz index

Postby dakila » Tue May 01, 2018 7:03 pm

The add-in is updated to include the option to save the pairwise spillovers.

paolo.zanghieri
Posts: 11
Joined: Wed Mar 05, 2014 10:52 am

Re: Diebold-Yilmaz index

Postby paolo.zanghieri » Tue May 08, 2018 1:58 am

thanks a lot. Just a final clarification. the series pc_i_J must be interpreded as share of unit i's variability due to j? Moreover each column in the fromvar (tovar) matric is the chare of variance due to (contributing to) other units, right? thanks again

dakila
Posts: 337
Joined: Tue Nov 24, 2015 4:57 pm

Re: Diebold-Yilmaz index

Postby dakila » Tue May 08, 2018 11:00 am

yes

dlodlod
Posts: 1
Joined: Wed Jan 17, 2018 6:35 am

Re: Diebold-Yilmaz index

Postby dlodlod » Sat Oct 06, 2018 4:53 am

Thank you for the add-in. I need help please. When I try to run the add-in I get an error message which says "Sizes do not match in matrix function". I cannot figure out how to fix this. I do see that the matrices have different orders but my challenge is how do I get around this.
Background to my research: I want to calculate a spillover index for monetary policy variables which are measured on a quarterly basis. I have attached the file so you can see the VAR I have run (named var01). When I try to run the add-in from the VAR, that's when I get the error message. Any assistance/advice will be greatly appreciated.
Attachments
data - var.wf1
(360.64 KiB) Downloaded 49 times

dakila
Posts: 337
Joined: Tue Nov 24, 2015 4:57 pm

Re: Diebold-Yilmaz index

Postby dakila » Mon Oct 08, 2018 2:31 pm

Did you read the instruction document ? (dyindex.pdf file located in add-in folder)
You cant run the add-in from the VAR. You should open it first from Add-ins menu. Or try command line.

bibi.dostmohamed2
Posts: 4
Joined: Wed Oct 17, 2018 8:02 am

Re: Diebold-Yilmaz index

Postby bibi.dostmohamed2 » Thu Oct 18, 2018 6:57 am

Hello ,am having "illegal lag selection" when using the dyindex.Can you help me solving this please ?

dakila
Posts: 337
Joined: Tue Nov 24, 2015 4:57 pm

Re: Diebold-Yilmaz index

Postby dakila » Fri Oct 19, 2018 10:31 pm

Could describe the data? Or upload data file?

bibi.dostmohamed2
Posts: 4
Joined: Wed Oct 17, 2018 8:02 am

Re: Diebold-Yilmaz index

Postby bibi.dostmohamed2 » Sat Oct 20, 2018 7:05 am

Thank you for responding .I need to calculate the return spillover with those returns.Tests about the lag etc were done and was 1
Attachments
New Monthly Return.xlsx
The file about the returns
(22.08 KiB) Downloaded 51 times

dakila
Posts: 337
Joined: Tue Nov 24, 2015 4:57 pm

Re: Diebold-Yilmaz index

Postby dakila » Wed Oct 24, 2018 6:45 pm

The sample size of time series is too short. So you cannot choose lags greater than 1.

bibi.dostmohamed2
Posts: 4
Joined: Wed Oct 17, 2018 8:02 am

Re: Diebold-Yilmaz index

Postby bibi.dostmohamed2 » Wed Oct 24, 2018 9:03 pm

Thank you for your reply.But when am inputting the number of lags 1, i am having illegal lag specification.

dakila
Posts: 337
Joined: Tue Nov 24, 2015 4:57 pm

Re: Diebold-Yilmaz index

Postby dakila » Thu Oct 25, 2018 7:21 am

Change the rolling windows parameter. for example, the following command worked for me

Code: Select all

dyindex(window=60) 2 @ usd_aud usd_cny usd_jpy usd_rub

window=60 - rolling window parameter

bibi.dostmohamed2
Posts: 4
Joined: Wed Oct 17, 2018 8:02 am

Re: Diebold-Yilmaz index

Postby bibi.dostmohamed2 » Thu Oct 25, 2018 8:33 am

Thank you loads.It worked.

abdhut123
Posts: 4
Joined: Sat Nov 18, 2017 12:38 pm

Re: Diebold-Yilmaz index

Postby abdhut123 » Tue Nov 13, 2018 5:03 pm

hi, I am getting an error "sizes do not match in matrix function" when I'm doing generalized rather than Cholesky. When I'm doing Cholesky I'm able to get the result'.....but I want to do generalized...please help me


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