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ARW add-in

Posted: Wed Sep 11, 2019 5:50 pm
by dakila
This thread is about the ARW add-in that implements Arias, Rubio-Ramirez and Waggoner algorithm for sign and zero restricted VARs.

Re: ARW add-in

Posted: Thu Feb 20, 2020 10:09 am
by pascalle
Hi,
I just run the ARW add-in with the data provided in the add-in file. However, it shows the following warning:
Error 17 in encrypted program, and there is no any output about Figure 6: Importance Sampler Output.
May I know how can I fix this problem?

Thank you
Pascal

Re: ARW add-in

Posted: Sat Feb 22, 2020 4:23 am
by dakila
What is the version of Eviews you use? It only works for the version 11.

Re: ARW add-in

Posted: Mon Feb 24, 2020 3:10 pm
by pascalle
Dear dakila,
Thank you for your reply. I am using version 10.
Pascal

Re: ARW add-in

Posted: Fri Feb 28, 2020 7:25 pm
by pascalle
Dear dakila,
May I know how can I obtain the forecast error of variance decomposition with its long horizon?
Thank you
Pascal

Re: ARW add-in

Posted: Sun Mar 01, 2020 5:51 pm
by dakila
Just try to estimate the FEVD with the different long horizon and check the convergence.

Re: ARW add-in

Posted: Mon Mar 02, 2020 5:13 am
by pascalle
Dear Dakila,
Thank you for your help.
Pascal

Re: ARW add-in

Posted: Thu May 14, 2020 8:08 am
by Nynk
Dear Dakila,

When I try to estimate a zero and sign restricted VAR I always get error 15.
Do you know what might cause the problem?


I use these commands, I have 5 variables with monthly data.
matrix zeromatrix = @zeros(3,5)
zeromatrix(1,2)=1
zeromatrix(2,3)=1
zeromatrix(3,5)=1
matrix signmatrix =@zeros(2,5)
signmatrix(1,1)=1
signmatrix(2,4)=-1
arw(ndraws=1000, nsteps=24, horizons=2) 2 signmatrix zeromatrix @ lta lgdp lcp ciss lmro

Re: ARW add-in

Posted: Mon May 18, 2020 1:33 am
by dakila
What is the version?

Re: ARW add-in

Posted: Tue May 19, 2020 1:16 am
by Nynk
I have version 11, and the newest version of the Add-in

Re: ARW add-in

Posted: Tue May 19, 2020 3:37 am
by dakila
If you don't know the restriction matrix syntax, you can use the dialogbox instead of command line

zero restriction matrix should be like this
matrix zeromatrix = @zeros(1,5)
zeromatrix(1,2)=1
zeromatrix(1,3)=1
zeromatrix(1,5)=1