TVAR (Threshold VAR)

EViews Gareth · Postby **EViews Gareth** » Thu Nov 10, 2011 8:46 am

You need to do more than just install R. Please refer to the EViews documentation for more details.

Scalper · Postby **Scalper** » Thu Nov 10, 2011 9:08 am

which documentation are you refer? When i do the download of the add-ins, there just refer that i have to install the Software R.

EViews Gareth · Postby **EViews Gareth** » Thu Nov 10, 2011 9:11 am

The EViews 7 Command and Programming Reference, Chapter 7.

Scalper · Postby **Scalper** » Thu Nov 10, 2011 9:57 am

so, have to write commands to estimate the TVAR in Eviews?? i ask you thgat because when i click in add-ins TVAR, it shows up a table when i have to put variables and lags and so on. I will be necessarily to write comamnds?! or only write top commands to open a connettion to R?

Thks

EViews Gareth · Postby **EViews Gareth** » Thu Nov 10, 2011 9:58 am

No, you don't need to write any commands. You just need to have R installed and connected to EViews properly.

EViews Glenn · Postby **EViews Glenn** » Thu Nov 10, 2011 10:06 am

Did you install statconnDCOM and rscproxy too?

Scalper · Postby **Scalper** » Thu Nov 10, 2011 10:10 am

just one more thing :

is it possible to estimate a SBTVAR or SBVAR in Eviews??

thank your for your help

Yours sincerely,
Scalper

EViews Gareth · Postby **EViews Gareth** » Thu Nov 10, 2011 10:13 am

If there is an R package that estimates them, and you are familiar with calling R routines from within EViews, then yes. But there is nothing currently built into EViews or available as an Add-in.

Scalper · Postby **Scalper** » Fri Nov 11, 2011 5:15 am

hello again

i have tried to estimate the TVAR, but now, the message is " only an annual, quartely or monthly series object can be put into a R times series object".. but i have daily datas...so , i cant estimate the tvar model??!!

regards

Scalper · Postby **Scalper** » Fri Nov 11, 2011 7:29 am

the lags that i have to put are the lags of the VAR model??!! and de delay parameter, how do i know wich number that i have to put?

thanks

regards

Scalper

EViews Gareth · Postby **EViews Gareth** » Fri Nov 11, 2011 9:27 am

Scalper wrote:hello again

i have tried to estimate the TVAR, but now, the message is " only an annual, quartely or monthly series object can be put into a R times series object".. but i have daily datas...so , i cant estimate the tvar model??!!

regards

Try editing the Add-in code. The line that says:

Code: Select all

xput(rtype=ts, name=g) {%g}

Change it to be:

Code: Select all

xput(name=g) {%g}

That might sort it for you.

Scalper · Postby **Scalper** » Fri Nov 11, 2011 12:23 pm

thank you.

i ran the TVAR, but the output doesnt show up the threshold value and the threshold variable either.

am i correct?!

regards

EViews Gareth · Postby **EViews Gareth** » Fri Nov 11, 2011 1:32 pm

Yep, unfortunately the R package doesn't return that.

Scalper · Postby **Scalper** » Fri Nov 11, 2011 2:42 pm

So, its impossibe to know the threshold value and the delay parameter??
How do i know that the threshold variable> thrshold value or vice versa...because i have to explicit in my thesis the delay parameter and the threhold value and variable...

Threfore, the % in each regime what it means? Its the % of the observations of the sample??

Regards

EViews Gareth · Postby **EViews Gareth** » Fri Nov 11, 2011 2:45 pm

It is the percentage in each subsample.

EViews.com