BFAVAR Add-In

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angi
Posts: 1
Joined: Tue Apr 16, 2019 7:21 am

BFAVAR Add-In

Postby angi » Tue Apr 16, 2019 9:27 am

Dear everyone,

at first, thanks for this great Add-in. At this moment I am trying to estimate a BFAVAR with two factors (extracted from a number of series X1 to X4) and with two Y series Y1 and Y2. The order of my BFAVAR is supposed to be the following: F1 F2 Y1 Y2. And I want to measure the response of Y2 to a shock of Y1.

My code: bfavar(factor=2, horizon=20, rep=1000, burn=200, ci=0.9) 3 x yx_nr tcode yx_name @ Y2 Y1
(x:matrix of X1 X2 X3 X4, yx_name: the names of Y1 Y2 X1 X2 X3 X4 and yx_nr: 5 6 1 2 3 4)

Is it possible to have more than one Y series? And is the code right if I want to measure the responses to a shock in Y1?
Are yx_name and yx_nr built the right way for this purpose?
(I use Eviews 9.5).

Thanks in advance!
Angelina

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