implement Generalized IRF from system object (VAR estimated with GMM)

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.

Moderators: EViews Gareth, EViews Moderator

yunqingMa
Posts: 5
Joined: Mon Sep 11, 2017 4:39 pm

implement Generalized IRF from system object (VAR estimated with GMM)

Postby yunqingMa » Mon Sep 11, 2017 8:50 pm

Hi, there,

Two questions actually.

1. For EViews 9 enterprise version, is there a way to simulate generalized impulse response function from system object? The reason I want to do this is because I hope to use GMM to estimate my VAR, the only way I can do is to estimate from system object. But after estimation, I couldn't find option for simulating Generalized impulse response function and all other options (e.g. cumulative IRF, monte carlo simulation. etc.)

2. Is there a way in EViews to implement a ONE UNIT shock of generalized impulse response function? EViews is giving one-standard deviation shock for generalized impulse response function, according to my knowledge.

Thank you very much :D !

dakila
Posts: 270
Joined: Tue Nov 24, 2015 4:57 pm

Re: implement Generalized IRF from system object (VAR estimated with GMM)

Postby dakila » Tue Sep 12, 2017 6:05 am

2. Is there a way in EViews to implement a ONE UNIT shock of generalized impulse response function? EViews is giving one-standard deviation shock for generalized impulse response function, according to my knowledge.


Try the sirf add-in.

yunqingMa
Posts: 5
Joined: Mon Sep 11, 2017 4:39 pm

Re: implement Generalized IRF from system object (VAR estimated with GMM)

Postby yunqingMa » Tue Sep 12, 2017 3:34 pm

Try the sirf add-in.[/quote]



Thanks. Actually I tried before and I had two problems.
1. how to make the shock as the generalized IRF in this add-in?
2. Seems this add-in doesn't provide Monte Carlo standard error, which I need.

Could you please provide further guidance?

yunqingMa
Posts: 5
Joined: Mon Sep 11, 2017 4:39 pm

Re: implement Generalized IRF from system object (VAR estimated with GMM)

Postby yunqingMa » Tue Sep 12, 2017 3:34 pm

dakila wrote:
2. Is there a way in EViews to implement a ONE UNIT shock of generalized impulse response function? EViews is giving one-standard deviation shock for generalized impulse response function, according to my knowledge.


Try the sirf add-in.



Thanks. Actually I tried before and I had two problems.
1. how to make the shock the generalized IRF in this add-in?
2. Seems this add-in doesn't provide Monte Carlo standard error, which I need.

Could you please provide further guidance?

dakila
Posts: 270
Joined: Tue Nov 24, 2015 4:57 pm

Re: implement Generalized IRF from system object (VAR estimated with GMM)

Postby dakila » Tue Sep 12, 2017 5:14 pm

First, estimate GIRF using eviews built-in command or dialog box. Then use the sirf add-in.

yunqingMa
Posts: 5
Joined: Mon Sep 11, 2017 4:39 pm

Re: implement Generalized IRF from system object (VAR estimated with GMM)

Postby yunqingMa » Wed Sep 13, 2017 4:12 pm

dakila wrote:First, estimate GIRF using eviews built-in command or dialog box. Then use the sirf add-in.



Thank you so much! But........after I tried yesterday....

1. The graph seems not correct.. what should I put in the field of scale factor for IRF? No understanding about this..
2. When I impulse two variables in the add-in, why it shows me "0 is not a valid index for vector-series-coefficient FAC_DIAG02"...Is this because I put a "1" in the scale factor field?


Return to “Estimation”

Who is online

Users browsing this forum: Bing [Bot] and 11 guests