Panel SVAR

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dakila
Posts: 358
Joined: Tue Nov 24, 2015 4:57 pm

Panel SVAR

Postby dakila » Thu Jul 26, 2018 5:00 pm

This thread is about the psvar add-in that estimates Panel SVAR of Pedroni (2013).

dakila
Posts: 358
Joined: Tue Nov 24, 2015 4:57 pm

Re: Panel SVAR

Postby dakila » Fri Aug 03, 2018 2:00 am

The psvar add-in is updated. It now includes variance decomposition analysis.

nachito_mun
Posts: 1
Joined: Thu Aug 02, 2018 5:20 pm

Re: Panel SVAR

Postby nachito_mun » Fri Aug 03, 2018 8:56 am

Many thanks for this add-in, Dakila! Is there any tutorial or help file to understand how to run it and also the output it produces?

jiangziyaok
Posts: 4
Joined: Sun Jul 31, 2016 8:22 pm

Re: Panel SVAR

Postby jiangziyaok » Tue Aug 07, 2018 11:04 pm

dakila wrote:The psvar add-in is updated. It now includes variance decomposition analysis.

Dear dakila, when we use the variance decomposition analysis,it shows a error messages: matrix sent a function which operates on a vector.
can you give us some suggests?

dakila
Posts: 358
Joined: Tue Nov 24, 2015 4:57 pm

Re: Panel SVAR

Postby dakila » Wed Aug 08, 2018 12:08 am

Could you send the command or description of the date file or data file?

pmchileshe
Posts: 6
Joined: Mon Jul 16, 2018 11:04 pm

Re: Panel SVAR

Postby pmchileshe » Wed Aug 08, 2018 11:02 am

Hi Dakila,
I am also interested in the information on how the Panel SVAR addin can be used. I have been checking all manuals and there is nothing.
Please help

dakila
Posts: 358
Joined: Tue Nov 24, 2015 4:57 pm

Re: Panel SVAR

Postby dakila » Wed Aug 08, 2018 4:17 pm

The add-in document (psvar.pdf) and example(psvar_ex1.prg) are located in folder C:\Users\...\Documents\EViews Addins\Psvar.

chirs003
Posts: 3
Joined: Fri Aug 03, 2018 1:45 am

Re: Panel SVAR

Postby chirs003 » Mon Aug 27, 2018 2:54 am

I encountered the same problem as jiangziyaok. When I added the variance decomposition option, it showed a error messages: matrix sent a function which operates on a vector. My data is in the attachment section.
In addition, I don't understand what e1, e2...en in the impulse response diagram is?
Can you give us some suggests?
Attachments
human capital.xlsx
(152.32 KiB) Downloaded 62 times
hc.WF1
(283.8 KiB) Downloaded 74 times

dakila
Posts: 358
Joined: Tue Nov 24, 2015 4:57 pm

Re: Panel SVAR

Postby dakila » Mon Aug 27, 2018 5:43 am

What is the version of eviews you use? It works for my eviews.
For example, the following command is working:
psvar(ident=1, horinzon=10, vd=1) 5 @ dlntfp dlnhc

You do not need to take the first difference. The add-in automatically will take the first difference.

chirs003
Posts: 3
Joined: Fri Aug 03, 2018 1:45 am

Re: Panel SVAR

Postby chirs003 » Mon Aug 27, 2018 11:16 pm

dakila wrote:What is the version of eviews you use? It works for my eviews.
For example, the following command is working:
psvar(ident=1, horinzon=10, vd=1) 5 @ dlntfp dlnhc

You do not need to take the first difference. The add-in automatically will take the first difference.

I use the eviews10. I also use your code "psvar(ident=1, horinzon=10, vd=1) 5 @ dlntfp dlnhc". However, i still shows: matrix sent a function which operates on a vector.
hc.jpg
hc.jpg (71.18 KiB) Viewed 2966 times

Maybe it's time to change my eviews version. QAQ.

chirs003
Posts: 3
Joined: Fri Aug 03, 2018 1:45 am

Re: Panel SVAR

Postby chirs003 » Mon Aug 27, 2018 11:23 pm

When i click OK. It shows
HC2.png
HC2.png (59.24 KiB) Viewed 2966 times

Perhaps the result of the variance decomposition is in the above picture, but I don't know that it is the end result.
Also, can we do Panel Granger causality test by psvar?

dakila
Posts: 358
Joined: Tue Nov 24, 2015 4:57 pm

Re: Panel SVAR

Postby dakila » Tue Aug 28, 2018 12:25 am

Try to update the eviews 10 and try update the psvar add-in to the version 2.0. It is not possible to do Granger causality test using the psvar add-in.

Niqu
Posts: 2
Joined: Fri Feb 15, 2019 10:38 am

Re: Panel SVAR

Postby Niqu » Fri Feb 15, 2019 2:50 pm

dakila wrote:Try to update the eviews 10 and try update the psvar add-in to the version 2.0. It is not possible to do Granger causality test using the psvar add-in.

@dakila, I'm trying ro run the program but I get the following error: "Error 29 in encrypted program". I'm using Eviews 10+, university edition, and it's up to date. Do you have any idea how to get around with this error? Thanks!
LE: it seems that the error pop ups because the panel is unbalanced. After I make it balanced loosing too many observations, the error dissapears. My question still stands: do you have any idea how to get around with this error?

dakila
Posts: 358
Joined: Tue Nov 24, 2015 4:57 pm

Re: Panel SVAR

Postby dakila » Sun Feb 17, 2019 7:16 am

I don't know. maybe I can figure out if you send me the data.

Niqu
Posts: 2
Joined: Fri Feb 15, 2019 10:38 am

Re: Panel SVAR

Postby Niqu » Sun Feb 17, 2019 11:35 am

dakila wrote:I don't know. maybe I can figure out if you send me the data.

Hi, Dakila,

I do not know if you received the database in PM, and to be sure, I attach it here too.
Thanks!
Attachments
database_17_small.wf1
(4.09 MiB) Downloaded 19 times


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