Diebold-Yilmaz index

[pschneider]

thanks. does the fromvar1_matrix represent spillovers from series i to the whole matrix or all j?

[dakila]

Each column in the fromvar (tovar) matric is the share of variance due to (contributing to) other units.

[pschneider]

I'm frequently getting "error 6 in program", using eviews 12, and daily chg data on bond yields. It seems to be fine if I just use the level of yields. Any possible reason? Would having a few zeros create problems?

[pschneider]

Each column in the fromvar (tovar) matric is the share of variance due to (contributing to) other units.

Thanks. To clarify, some of my columns are >100 in tovar, so I'm trying to figure out how to interpret this (as it can't be the percent share). Do I need to take another step, so column 1/divided sum of columns, would be the outward spillover index for that variable?

To be very specific, does the 'tovar' metric correspond to the row "contribution to others" in the attached matrix (on a rolling basis of course)?

[kzmh78]

Hello, when I calculate the Diebold-Yilmaz spillover index using 51 series, I get the error message 'Error 1114 in encrypted program'.
Is there an upper limit to the number of series available?
I am an EViews13 user and used the command line ('dyindex 4 @ ser01 ser02 ser03 ... ser51').

[dakila]

No. Maybe you have matrix inversion problem because of multicollinearity.

[kzmh78]

Thanks for your comment! I will check it out.

[ecshukri]

Hello, when I tried to run the Add-in, the following error message came up "Error 20 in encrypted program". What's the problem here?

[dakila]

You have to open the data file with extension wf1 before open the dialog box (the menu).

[ecshukri]

Thanks for the feedback. There is another error message = Error 500 in encrypted program. Any idea what this is? And if you could share a list of error messages for the dyindex is much appreciated. That would help me to troubleshoot.

[dakila]

Sorry, I don't have all error messages. You have to careful to input data and choose the parameter options.