TVAR (Threshold VAR)

[EViews Gareth]

This thread is about the TVAR Add-in that estimates a Threshold VAR using the R package tsDyn. You will need R to run this Add-in.

[samijo]

Upon trying to add it, it gives an error that it's not available!

[EViews Gareth]

Sorry, try now.

[Mihaain]

Hello,

I`m trying to estimate a TVAR model, but i get the following error: R(for 'test<-TVAR(g, 2, include="const"model="TAR",thhresh=1)') returned an error: evaluation stopped because of an error!

Any idea how to pass this error?

Thanks!

[EViews Gareth]

The R-code reported an error. Hard to know what that error is without seeing it.

[gordeza]

Hi great people, I'm trying to run TVAR with the new add-in but keep seeing this error message "noexternal connection is open". I've R and I've tried to run tsDyn although I'm not s sure whether I've done the later right (I mean tsDyn).
Can anyone tell me what the above error mean and how to have tsDyn work (if that's the culprit as I suspect it to be)?
Thanks in advance.
Gore

[EViews Gareth]

Sounds like you haven't set up the R connection in EViews properly. Please see the EViews manual for more information on how to do so.

[sweivE]

I got the same error like gordeza. I think its because the 'tvar' command cannot handle NA's as inputs. For instance, I tried to estimate a variable in log difference - dlog(gdp), and since the first observation of dlog is an NA it returns an error.

Try to change the sample accordingly and it might work

Question to Gareth - is it possible to get from 'TsDyn' St. dev of the coefficients? and IRFs?

[EViews Gareth]

NAs will not (at least shouldn't) cause an error of "noexternal connection is open". They will cause a separate error.

The R code doesn't have standard errors or IRFs

[gordeza]

I've re-installed everything and now I keep getting the very same error message that Mihaain mentioned early:
"R(for 'testtar<-TVAR(g, 1, include="const"model="TAR",thhresh=1)') returned an error: evaluation stopped because of an error".
Any idea on how to proceed?
Btw, I've Eviews 7.2 running on Windows 7 Ultimate 64 bit.
Thanks in advance!

[EViews Gareth]

Could you post your workfile?

[gordeza]

Thanks in advance Gareth. Here is the file; which is the data from Tsay 1998 testing and modelling threshold models. I also hope the output displays the threshold.

[EViews Gareth]

I ran the Add-in with those two variables and it worked with 2, 3 and 4 lags.

[gordeza]

Somehow it's finally working.
Thanks so much!

[Scalper]

hello,

I've already installed the program R ,Eviews and its package as well the Add-ins TVAR. However, when i am put the variables and lags and when i click "ok" it shows up a error message " R is not installed, please check your eviews documentantion for instructions on installing in R"... but ive already installed.

Could you help me??
thanks

Yours sincerely,

Scalper