Assymetric Magnitude of Impulse Response in VAR

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

sultan1
Posts: 1
Joined: Tue Sep 19, 2017 5:23 pm

Assymetric Magnitude of Impulse Response in VAR

Postby sultan1 » Tue Sep 19, 2017 5:40 pm

Hi fellows,

I'm trying to estimate impulse responses in a VAR model. The variables include oil and some other macroeconomic variables. However, the economic theory states that magnitude of positive and negative shock of oil on these macroeconomic variables are different.

Thus, I need your assistance in how to estimate a VAR model and generate IRFs when the magnitude of negative and positive shocks are different ?

Thanks,

EViews Matt
EViews Developer
Posts: 557
Joined: Thu Apr 25, 2013 7:48 pm

Re: Assymetric Magnitude of Impulse Response in VAR

Postby EViews Matt » Wed Sep 20, 2017 9:28 am

Hello,

Are you referring to work by A. Hatemi-J (2011)? EViews doesn't have such asymmetric IRFs built-in, so you'll have to calculate them yourself, i.e., split the residuals into non-negative and non-positive series and estimate the secondary VARs.

Qamata
Posts: 1
Joined: Fri Nov 02, 2018 3:52 am

Re: Assymetric Magnitude of Impulse Response in VAR

Postby Qamata » Sat Nov 03, 2018 2:14 am

Can you guys help me with generating positive and negative residuals of a variable on eviews? Please

MSN
Posts: 1
Joined: Sun Feb 07, 2021 2:57 pm

Re: Assymetric Magnitude of Impulse Response in VAR

Postby MSN » Sat Feb 13, 2021 9:24 pm

hı, I want to test Hatemi-j cointegration test but I haven't code or another thing,
is it possible for you, send me Hatemi-j cointegration code
thanks


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 20 guests