Factor Augmented VAR Analysis
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Factor Augmented VAR Analysis
Dear Eviews programming experts,
Recently, a relatively new econometrics methodology that is Factor Augmented VAR analysis (FAVAR) has been developed and also extensively used in the empirical studies to produce a valuable information to the policymakers. I do aware of the fact that the programming code is available for MATLAB, while I am not the MATLAB user. Therefore, I hope anyone write or share their Eviews programming codes for the FAVAR analysis if available. So far, what I understand the FAVAR analysis is that there are two step:
1. We employ the Principle component analysis to compress the explanatory variables into one factor (F), then
2. We run the VAR with the variable of interest (Y) and the factor (F).
From FAVAR framework, we can also compute the impulse response function for each variables.
I hope to get your response soon.
Thank you,
Regards,
CF Tang
Recently, a relatively new econometrics methodology that is Factor Augmented VAR analysis (FAVAR) has been developed and also extensively used in the empirical studies to produce a valuable information to the policymakers. I do aware of the fact that the programming code is available for MATLAB, while I am not the MATLAB user. Therefore, I hope anyone write or share their Eviews programming codes for the FAVAR analysis if available. So far, what I understand the FAVAR analysis is that there are two step:
1. We employ the Principle component analysis to compress the explanatory variables into one factor (F), then
2. We run the VAR with the variable of interest (Y) and the factor (F).
From FAVAR framework, we can also compute the impulse response function for each variables.
I hope to get your response soon.
Thank you,
Regards,
CF Tang
Re: Factor Augmented VAR Analysis
tcfoon wrote:Recently, a relatively new econometrics methodology that is Factor Augmented VAR analysis (FAVAR) has been developed and also extensively used in the empirical studies to produce a valuable information to the policymakers. ...
Regards,
CF Tang
I fully agree with Mr. Tang that FAVAR is an important tool for analysis by the policymaker. As mentioned in another post on DSGE modelling, it is a shame that EViews is "behind the curve" on these techniques, so that researchers are obliged to use Matlab or RATS instead.
Regards
Donihue

 EViews Developer
 Posts: 2642
 Joined: Wed Oct 15, 2008 9:17 am
Re: Factor Augmented VAR Analysis
Which MATLAB FAVAR program do people use?
Re: Factor Augmented VAR Analysis
QMS Glenn wrote:Which MATLAB FAVAR program do people use?
You will find a suite of Matlab files to replicate the famous Bernanke et al QJE 2005 paper at Jean Boivin's site: http://neumann.hec.ca/pages/jean.boivin/
There is also a suite of Gauss files to replicate the StockWatson 2005 paper on FAVARs at Mark Watson's site: http://www.princeton.edu/~mwatson/wp.html
Regards
Donihue

 EViews Developer
 Posts: 2642
 Joined: Wed Oct 15, 2008 9:17 am
Re: Factor Augmented VAR Analysis
Thanks. I knew of the Stock and Watson code, but didn't know which MATLAB code people were using. At some point I'm going to try to cobble something together which uses the new EViews 7 COM interface to run MATLAB so that if you have the latter, you can use EViews to perform the estimation without leaving EViews.
Re: Factor Augmented VAR Analysis
QMS Glenn wrote: At some point I'm going to try to cobble something together which uses the new EViews 7 COM interface to run MATLAB so that if you have the latter, you can use EViews to perform the estimation without leaving EViews.
Thanks. That would be a help, although it still leaves those of us who teach these things to central bankers and other policymakers without a direct EViews option, which is what THEY want...
Regards
Donihue

 EViews Developer
 Posts: 2642
 Joined: Wed Oct 15, 2008 9:17 am
Re: Factor Augmented VAR Analysis
Reasonable comment. It is on our short list of things to look at going forward.
Re: Factor Augmented VAR Analysis
Any update on the above promised efforts to have a FAVAR analysis enabled platform in Eviews??

 EViews Developer
 Posts: 2642
 Joined: Wed Oct 15, 2008 9:17 am
Re: Factor Augmented VAR Analysis
Unfortunately, none. There have been projects which have been deemed to be higher priority so it hasn't yet happened. Sorry.
I'll make a note of your request going forward. Thanks for the suggestion.
I'll make a note of your request going forward. Thanks for the suggestion.
Re: Factor Augmented VAR Analysis
Please download FAVAR package from EViews AddIn page (http://www.eviews.com/Addins/addins.shtml)
Re: Factor Augmented VAR Analysis
dakila wrote:Please download FAVAR package from EViews AddIn page (http://www.eviews.com/Addins/addins.shtml)
Thanks a lot for this very useful link.
Would it be possible to describe a little bit how works the addin? Maybe with a simple example? The format of each in put is not clear.
Thank you!
Re: Factor Augmented VAR Analysis
There is example file (favar_ex.prg) in the FAVAR addin folder which replicates figure 2 of Bernanke, Boivin and Eliatsz (2005).
Re: Factor Augmented VAR Analysis
Please download Bayesian FAVAR package from EViews AddIn page (http://www.eviews.com/Addins/addins.shtml)
Re: Factor Augmented VAR Analysis
Dear eViews users,
is there a way to transform graph object to spreadsheet? I am asking in this thread because FAVAR addin provides me with graphed IRFs but it is more convinient for robustness checks to have the IRF in a spreadsheet allowing to work with the results a bit more.
Thank you
Martin
is there a way to transform graph object to spreadsheet? I am asking in this thread because FAVAR addin provides me with graphed IRFs but it is more convinient for robustness checks to have the IRF in a spreadsheet allowing to work with the results a bit more.
Thank you
Martin
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