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Re: Diebold-Yilmaz index
Posted: Thu May 07, 2020 6:13 pm
by dakila
No. it does not affect the results. If you want to label variables for the table results, use this option.
Re: Diebold-Yilmaz index
Posted: Sat May 09, 2020 8:09 pm
by Ning
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?
Re: Diebold-Yilmaz index
Posted: Mon Jul 06, 2020 10:15 am
by Haoren
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.
Re: Diebold-Yilmaz index
Posted: Thu Jul 16, 2020 2:56 am
by Stataman
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 1ยบ 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
Re: Diebold-Yilmaz index
Posted: Mon Jul 20, 2020 5:22 am
by Stataman
Hi,
I am performing the Diebold-Yilmaz spillover index using the Add-In.
The results are consistent for the TOTAL spillover idex. However, the output does not generate the Net splillover index.
One could just substract the two matrix output (To matrix - From Matrix) to obtain the NET SPILLOVER, however when I open those matrix I realize that there are not dates inside, that complicates the interpretation.
Furthermore, the matrix output does not contain the names of the endogeous variables, and it assign new variables names.
I would really apreciate your help.
Many thanks
Kind Regards
Re: Diebold-Yilmaz index
Posted: Mon Jul 20, 2020 6:02 pm
by dakila
Hi,
You are right. You already did it manually. That is only possible way to get the net spillover index. I will update it sometimes later.
Re: Diebold-Yilmaz index
Posted: Mon Feb 08, 2021 9:20 pm
by a.rachmasyaputri
dakila wrote:Hi,
You are right. You already did it manually. That is only possible way to get the net spillover index. I will update it sometimes later.
Hi dakila, have you done to get net spillover index?
Re: Diebold-Yilmaz index
Posted: Mon Feb 08, 2021 9:22 pm
by a.rachmasyaputri
harpreet_kaur wrote:Hi, i have applied Diebold model in Eview9 to check return spillover among five return series ( daily data, around 3000 observation). I have some queries
1. Endogenous variable should be stationary?
2. On the basis of lag length criteria, appropriate lag is 1 (SC) and 4( AIC, HQ). When in run Diebold model with 4 lag then an error message comes "Near singular matrix'. No such error msg come when i run this model with 1 lag. Should i use lag order 1?
3. After running this Diebold model on return series with lag order 1, spilloverindex file and each PS_ _ file does not show any value. 'NA" only. I don't know why.
4. Last question, if I want to check volatility spillover instead of return spillover then what should be endogenous variable.
Thank You
Anybody can help answer this question, thank you in advance
Re: Diebold-Yilmaz index
Posted: Thu Feb 11, 2021 10:00 pm
by a.rachmasyaputri
dakila wrote: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.
Hai Dakila, I use eviews 11 to calculate dyindex. But I can't save the pairwise spillover, the information is : error 14 encrypted. How to solve the problem? thanks
Re: Diebold-Yilmaz index
Posted: Tue Oct 05, 2021 6:33 pm
by gary
Hello! I have a problem about the settings of Rolling Windows and Number of lags. I found that when setting 100 as Rolling Window and 2 as Number of lags, the first spillover index in the SPILLINDEX series is the result based on the first 102 obs, and when setting 1 as the Number of lags, the result is based on the first 101 obs. I am wondering if this calculation setting is reasonable because in other ways we can use the 3rd to 100th obs as the dependent variables when setting 2 as Number of lags by holding the number of calculated obs the same as Rolling Windows setting(=100). I don't know which method is more appropriate and I didn't find explanation in Diebold and Yilmaz's paper(2009). Thank you very much!
Re: Diebold-Yilmaz index
Posted: Fri Feb 18, 2022 5:09 am
by imalki
Hi All,
I am trying to work with dyindex using Eviews 12. Every time I try to work with I get this error message:
Error 20 in encrypted program
Does anyone know the meaning of this error and how to fix it?
Many thanks for any help you offer
Re: Diebold-Yilmaz index
Posted: Sun Feb 20, 2022 4:57 am
by dakila
Could you give more detailed question?
Re: Diebold-Yilmaz index
Posted: Mon Jun 27, 2022 6:47 pm
by dakila
The add-in was updated for the version 11 and 12. Please update your version to it (v1.5).
Re: Diebold-Yilmaz index
Posted: Mon Dec 19, 2022 8:26 am
by pschneider
dakila wrote:The add-in is updated to include the option to save the pairwise spillovers.
Can you explain the labeling behind the pairwise spillovers? Does objejct ps_11_1 mean spillovers from the 11th series to the 1 and so on? Is it possible to custom label them?
Thanks
Re: Diebold-Yilmaz index
Posted: Tue Dec 20, 2022 2:30 am
by dakila
No, the series pc_i_J must be interpreded as share of unit i's variability due to j. It is not possible to custom label.