Diebold-Yilmaz index

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dakila
Posts: 377
Joined: Tue Nov 24, 2015 4:57 pm

Re: Diebold-Yilmaz index

Postby dakila » Wed Nov 14, 2018 7:52 pm

Could you post the data?

xiaojiaoxiaojiao1994
Posts: 6
Joined: Mon Jan 21, 2019 2:11 am

Re: Diebold-Yilmaz index

Postby xiaojiaoxiaojiao1994 » Mon Jan 21, 2019 8:50 am

hello.I have two problems.when i run DYindex using eviews,there is a error message"@row is not a member or procedure of GFEVD ";I don't know how to solve it? another problem is that i can't identify number of lags.I am grateful if you can help me .thanks a lot!

dakila
Posts: 377
Joined: Tue Nov 24, 2015 4:57 pm

Re: Diebold-Yilmaz index

Postby dakila » Tue Jan 22, 2019 4:53 pm

What is the eviews version you are using? Can you run example program dyindex_ex1.prg?
If you have the old version, try to upgrade it to the version 10.

xiaojiaoxiaojiao1994
Posts: 6
Joined: Mon Jan 21, 2019 2:11 am

Re: Diebold-Yilmaz index

Postby xiaojiaoxiaojiao1994 » Thu Feb 14, 2019 8:10 am

dakila wrote:What is the eviews version you are using? Can you run example program dyindex_ex1.prg?
If you have the old version, try to upgrade it to the version 10.


Thank you for your answer,I upgrate it and solve above questions.But I get another problem,how to calculate “directional spillovers”,"net spillovers"using eviews, could you teach us how to calculate dyindex12 using eviews?

xiaojiaoxiaojiao1994
Posts: 6
Joined: Mon Jan 21, 2019 2:11 am

Re: Diebold-Yilmaz index

Postby xiaojiaoxiaojiao1994 » Sat Feb 16, 2019 1:00 am

paolo.zanghieri wrote: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


pairwise spillovers =net pairwise spillovers ?

xiaojiaoxiaojiao1994
Posts: 6
Joined: Mon Jan 21, 2019 2:11 am

Re: Diebold-Yilmaz index

Postby xiaojiaoxiaojiao1994 » Sat Feb 16, 2019 1:10 am

pairwise spillovers =net pairwise spillovers ? what 's the difference between them?

dakila
Posts: 377
Joined: Tue Nov 24, 2015 4:57 pm

Re: Diebold-Yilmaz index

Postby dakila » Sun Feb 17, 2019 7:14 am

Read the paper. it is different.

xiaojiaoxiaojiao1994
Posts: 6
Joined: Mon Jan 21, 2019 2:11 am

Re: Diebold-Yilmaz index

Postby xiaojiaoxiaojiao1994 » Fri Mar 01, 2019 7:39 pm

how to choose number of random orderings (18=default),I use two variables,monthly data.please help me !

dakila
Posts: 377
Joined: Tue Nov 24, 2015 4:57 pm

Re: Diebold-Yilmaz index

Postby dakila » Sat Mar 02, 2019 2:46 am

Did you read the document pdf? Use random option. For example,

Code: Select all

dyindex(random=18) 2 @ rrdjia rrftse rrfra

ana_lee
Posts: 3
Joined: Tue Mar 19, 2019 3:10 am

Re: Diebold-Yilmaz index

Postby ana_lee » Tue Mar 19, 2019 8:57 am

I can't find the instruction file. Does anyone have the pdf file?

dakila
Posts: 377
Joined: Tue Nov 24, 2015 4:57 pm

Re: Diebold-Yilmaz index

Postby dakila » Tue Mar 19, 2019 5:41 pm

C:\Users\...\Documents\EViews Addins\Dyindex\Dyindex.pdf

dakila
Posts: 377
Joined: Tue Nov 24, 2015 4:57 pm

Re: Diebold-Yilmaz index

Postby dakila » Thu Mar 21, 2019 6:00 pm

The dyindex add-in is updated. It now includes 'open docs' button and some minor bug fix.

ana_lee
Posts: 3
Joined: Tue Mar 19, 2019 3:10 am

Re: Diebold-Yilmaz index

Postby ana_lee » Tue Mar 26, 2019 10:07 pm

In Diebold-Yilmaz (2012), there are Total Spillovers, Directional Spillovers, Net Spillovers, and Net Pairwise Spillovers. Can we calculate the others spillover index too using this add-ins?

ana_lee
Posts: 3
Joined: Tue Mar 19, 2019 3:10 am

Re: Diebold-Yilmaz index

Postby ana_lee » Thu Mar 28, 2019 11:47 pm

Can we save the total spillover index result in spreadsheets if we don't run it using rolling windows?

Wiz_Ven
Posts: 11
Joined: Sun May 12, 2019 4:08 am

Re: Diebold-Yilmaz index

Postby Wiz_Ven » Sun May 12, 2019 9:39 am

Dear guys,
I write to you because I have a problem with this add-in. When I run the add-in with eviews 10, the following error appears: "Error 127 in encrypted program". In particular, this error appears when I select the Generalized IRF for all the variables (x1,..,x6) with a lag of 1. To be clearer, I also uploaded my Eviews file. Thank you for your help.
Attachments
DY_example.WF1
(19.99 KiB) Downloaded 36 times


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