Bayesian VAR
Moderators: EViews Gareth, EViews Moderator, EViews Esther
-
- EViews Developer
- Posts: 149
- Joined: Fri Sep 03, 2010 7:57 am
Re: Bayesian VAR
Yes. It should say "relative cross-variable weight".
Thank you for your attention.
Thank you for your attention.
-
- Posts: 3
- Joined: Sun Nov 07, 2010 2:10 pm
Re: Bayesian VAR
Thanks to your for your time, Esther.
I'm having another problems with the last version of the BVAR add-inn. I'm not sure what am I doing wrong:
1) Is there a limit in the list of endogenous variables on the "Bayesian VAR" dialog? Because I can't put more than 50 characters there.
2) The error message "_YLAG01 is not defined" appears often. In fact I've unable to estimate my BVAR with the Koko's priors - I've tried the default values of the priors, my own priors, and also diffent forecasting options.
3) The "model" option is great, but sometimes when the model is too long appears a "Syntax error" in the model object. It seems that the code doesnt fill the complete BVAR equation in the model source edit command line.
Thanks again, the BVAR is a great improvement in Eviews, as, to my knowledge, is the first step of Eviews in the promissory field of bayesian statistics.
I'm having another problems with the last version of the BVAR add-inn. I'm not sure what am I doing wrong:
1) Is there a limit in the list of endogenous variables on the "Bayesian VAR" dialog? Because I can't put more than 50 characters there.
2) The error message "_YLAG01 is not defined" appears often. In fact I've unable to estimate my BVAR with the Koko's priors - I've tried the default values of the priors, my own priors, and also diffent forecasting options.
3) The "model" option is great, but sometimes when the model is too long appears a "Syntax error" in the model object. It seems that the code doesnt fill the complete BVAR equation in the model source edit command line.
Thanks again, the BVAR is a great improvement in Eviews, as, to my knowledge, is the first step of Eviews in the promissory field of bayesian statistics.
-
- EViews Developer
- Posts: 149
- Joined: Fri Sep 03, 2010 7:57 am
Re: Bayesian VAR
Sanke Charmer wrote:1) Is there a limit in the list of endogenous variables on the "Bayesian VAR" dialog? Because I can't put more than 50 characters there.
There is no maximum limit on the number of endogenous variables you can use. I make "the list of endogenous variables" box a bit bigger for your convenience. However, if you have many endogenous variables, the command line could be useful.
Sanke Charmer wrote:2) The error message "_YLAG01 is not defined" appears often. In fact I've unable to estimate my BVAR with the Koko's priors - I've tried the default values of the priors, my own priors, and also diffent forecasting options.
I fixed the problem.
Re: Bayesian VAR
Thank you for fixing the IRF and other problems, Esther. It is a great pleasure to work with someone as responsive as you.
Now, if only you could get that pesky "Schorfheide - del Negro DSGE prior" option built into your code, it would be perfect!
Regards
Donihue
Now, if only you could get that pesky "Schorfheide - del Negro DSGE prior" option built into your code, it would be perfect!
Regards
Donihue
-
- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13305
- Joined: Tue Sep 16, 2008 5:38 pm
-
- Posts: 7
- Joined: Sat Jul 16, 2011 8:26 am
Re: Bayesian VAR
Hi i am a new learner of Bayesian VARs. The add-in on Eviews seems very useful. Is there any manual for this so that i can know better about the prior distributions? For the koko-minnesota prior, what is the overall tightness? And when i choose direct 1-step forecast, the coefficients are different from the coefficients under iternated forecast, is that right? sorry for the silly questions, but i am really not clear...
-
- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13305
- Joined: Tue Sep 16, 2008 5:38 pm
Re: Bayesian VAR
As with all Add-ins, the BVAR add-in comes with documentation. You can get to the documentation by clicking on the Docs button from the Manage Add-ins dialog.
Follow us on Twitter @IHSEViews
-
- EViews Developer
- Posts: 149
- Joined: Fri Sep 03, 2010 7:57 am
Re: Bayesian VAR
angelsky1207 wrote: For the koko-minnesota prior, what is the overall tightness? And when i choose direct 1-step forecast, the coefficients are different from the coefficients under iternated forecast, is that right?
Regarding upon the Ko-Ko Minnesota prior, the first parameter "overall tightness" implies the scale (value) of the error covariance.
As mentioned in the documentation (p.9), Ko-Ko models will let you specify the model in different ways.
-
- Posts: 7
- Joined: Sat Jul 16, 2011 8:26 am
Re: Bayesian VAR
EViews Esther wrote:angelsky1207 wrote: For the koko-minnesota prior, what is the overall tightness? And when i choose direct 1-step forecast, the coefficients are different from the coefficients under iternated forecast, is that right?
Regarding upon the Ko-Ko Minnesota prior, the first parameter "overall tightness" implies the scale (value) of the error covariance.
As mentioned in the documentation (p.9), Ko-Ko models will let you specify the model in different ways.
Hi,
Thank you for your quick reply. I have read the documentation. But i am still confused that when i choose the forecast period =1, the interated forecast is not equal to the direct 1-step forecast, which in my opinion, these two forecasts should be the same for one-period forecast. And i also run BVAR without selection of forecast, the coefficients shown are different . Can you tell me why?
thank you again for your help.
-
- EViews Developer
- Posts: 149
- Joined: Fri Sep 03, 2010 7:57 am
Re: Bayesian VAR
There is an excellent paper to help your understanding: M. Marcellino, J. H. Stock, M. W. Watson (2005) "A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series", J. of Econometrics (http://www.economics.harvard.edu/facult ... _hstep.pdf).
Please let me know whether this paper would be helpful.
Please let me know whether this paper would be helpful.
Re: Bayesian VAR
Is there any BVAR addin for Eviews 6?
-
- Non-normality and collinearity are NOT problems!
- Posts: 3775
- Joined: Wed Sep 17, 2008 2:25 pm
Re: Bayesian VAR
All add-ins require version 7 or higher.
-
- Posts: 7
- Joined: Sat Jul 16, 2011 8:26 am
Re: Bayesian VAR
EViews Esther wrote:There is an excellent paper to help your understanding: M. Marcellino, J. H. Stock, M. W. Watson (2005) "A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series", J. of Econometrics (http://www.economics.harvard.edu/facult ... _hstep.pdf).
Please let me know whether this paper would be helpful.
Hi,
i have read that paper. From that paper, we can tell that if the forecast horizon is 1, the interated equation and the direct forecast equation are the same except the error term. But when i try on eviews, the coefficients are different.
-
- EViews Developer
- Posts: 149
- Joined: Fri Sep 03, 2010 7:57 am
Re: Bayesian VAR
The aforementioned paper will give you the same model specification when h=1.
However, following Professor Gary Koop's idea (http://personal.strath.ac.uk/gary.koop/ ... bilis.html), the model specification in this addin would be different when implementing direct forecasts, compared to the specification when computing iterated forecasts. In particular, Koop writes the models as follows:
Iterated: Y(t) = A0 + Y(t-1)*A1 + .... + Y(t-p)*Ap + e(t)
Direct: Y(t+h) = A0 + Y(t)*A1 + .... + Y(t-(p-1))*Ap + e(t+h)
However, following Professor Gary Koop's idea (http://personal.strath.ac.uk/gary.koop/ ... bilis.html), the model specification in this addin would be different when implementing direct forecasts, compared to the specification when computing iterated forecasts. In particular, Koop writes the models as follows:
Iterated: Y(t) = A0 + Y(t-1)*A1 + .... + Y(t-p)*Ap + e(t)
Direct: Y(t+h) = A0 + Y(t)*A1 + .... + Y(t-(p-1))*Ap + e(t+h)
Re: Bayesian VAR
hi esther, can u let me know what i should change in the base code to allow a certain lag probably 4-7 instead of always starting from 1-4 in the var?
im using this
hope u understand what im trying to do. have looked at the base codes but lots of syntax error when complied. pls help.
im using this
Code: Select all
'simulate with variable as shown
for !horizon= 95 to 122
smpl 1978q1 1978q1+!horizon
bvar(prior=3,m=a{!horizon},c) 4<---- can i put 4 7 instead of 1-4? z_piet8 i_disc
'forecast
smpl 1978q1+!horizon+1 1978q1+!horizon+1
a{!horizon}.solve(d=s)
series master_series = z_piet8_0
series ee= (z_piet8 - z_piet8_0)^2
next
smpl @all
'calculate
scalar r = sqr((1/28)*@sum(ee))
show r
hope u understand what im trying to do. have looked at the base codes but lots of syntax error when complied. pls help.
Who is online
Users browsing this forum: No registered users and 28 guests