BVAR

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

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zhanghuifd
Posts: 6
Joined: Wed May 10, 2017 4:22 pm

BVAR

Postby zhanghuifd » Wed May 31, 2017 6:01 pm

Dear friends, I have encountered a simple problem about BVAR.
I compute BVAR directly in Eviews.
Firstly, if I want to compute the 90-percent error bands in dashed lines, is there any option for it in Eviews?
I use litterman to compute it.
Thanks for any help in advance! :shock: :shock: :?: :?:

dakila
Posts: 253
Joined: Tue Nov 24, 2015 4:57 pm

Re: BVAR

Postby dakila » Wed Jun 07, 2017 4:34 pm

Try the LBVAR add-in.

awatt43
Posts: 7
Joined: Mon Aug 21, 2017 12:19 am

Re: BVAR

Postby awatt43 » Tue Aug 22, 2017 1:58 am

Hi there,

I am estimating a large BVAR in EViews with 18 variables, a 12 lag structure and N-W priors.

Has anyone else encountered EViews crashing with this level of computation or is it a problem on my end?

Thanks,
Abi

dakila
Posts: 253
Joined: Tue Nov 24, 2015 4:57 pm

Re: BVAR

Postby dakila » Tue Aug 22, 2017 2:27 am

try to use the LBVAR add-in. It estimates LARGE BVAR model.

awatt43
Posts: 7
Joined: Mon Aug 21, 2017 12:19 am

Re: BVAR

Postby awatt43 » Wed Aug 23, 2017 12:24 am

Thanks for recommending the LBVAR add in. Is there any literature around the add in? I have read the paper that the add in is based on and I am a little lost as to the 'number of horizons' and 'number of MC draws' in the specification.

awatt43
Posts: 7
Joined: Mon Aug 21, 2017 12:19 am

Re: BVAR

Postby awatt43 » Wed Aug 30, 2017 3:38 am

I have now found the documentation! Apologies - Abi


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