Diebold-Yilmaz index

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Re: Diebold-Yilmaz index

Postby dakila » Thu May 07, 2020 6:13 pm

No. it does not affect the results. If you want to label variables for the table results, use this option.

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Joined: Sat May 09, 2020 8:27 am

Re: Diebold-Yilmaz index

Postby Ning » Sat May 09, 2020 8:09 pm

Hello, when I choose "Generalized" to run the index I get an error that says "Dot, diagonal, and solve require a vector argument", but I can get result when I choose "Cholesky". I wonder what does that mean because I want to use generalized variance decomposition. Could you please help me?

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Joined: Thu Jul 02, 2020 3:51 pm

Re: Diebold-Yilmaz index

Postby Haoren » Mon Jul 06, 2020 10:15 am

Could anybody help me? How to calculate the directional spillovers, net spillovers and net pairwise spillovers? My endogeneous variables are sp500 r_10y djubscom usdx, number of lags is 4, generalized, and I choose Roll. I choose save pairwise spillovers. It says Error 14 in encrypted program. All of those ps are NA.
dy2012 (1).xlsx
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Re: Diebold-Yilmaz index

Postby Stataman » Thu Jul 16, 2020 2:56 am

Hi, I am new in this forum.

I am working on my dissertation and I came across with this methodology (Diebold-Yilmaz index) that i found specially interesting.

Maybe it is a silly question but I would like to know if we must work with STATIONARY data (making for instance the 1º difference and testing unit roots) whenever we are going to build the index. Or the calculations for the spillovers work also for the raw data, and there is no need for transformation?

Many Thanks

Kind Regards

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