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