Bayesian VAR

[EViews Esther]

Yes. It should say "relative cross-variable weight".

Thank you for your attention.

[Sanke Charmer]

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.

[EViews Esther]

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.

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.

[donihue]

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

[Triangle90]

Many thanks, Gareth. The "model from levitra results" option would be very helpful indeed.

[EViews Gareth]

Which is why we added it

[angelsky1207]

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...

[EViews Gareth]

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.

[EViews Esther]

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.

[angelsky1207]

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 Esther]

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.

[nlarse2]

Is there any BVAR addin for Eviews 6?

[startz]

All add-ins require version 7 or higher.

[angelsky1207]

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 Esther]

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)