Mixed-Frequency VAR

For notifying us of what you believe are bugs or errors in EViews.
Please ensure your copy of EViews is up-to-date before posting.

Moderators: EViews Gareth, EViews Moderator

paolo.zanghieri
Posts: 25
Joined: Wed Mar 05, 2014 10:52 am

Mixed-Frequency VAR

Postby paolo.zanghieri » Fri Apr 10, 2020 2:43 am

Hello,
I am practicing on forecastign with Bayesian Mixed frequency VARS, using the kansas Fed file provided in the example. I estimated the model up to 2009Q and try to forecast, byt the Eviews crashes each time. Any clue?
thanks

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 12688
Joined: Tue Sep 16, 2008 5:38 pm

Re: Mixed-Frequency VAR

Postby EViews Gareth » Fri Apr 10, 2020 8:02 am

What’s the build date of your copy of EViews? (Help->About EViews)
Follow us on Twitter @IHSEViews

paolo.zanghieri
Posts: 25
Joined: Wed Mar 05, 2014 10:52 am

Re: Mixed-Frequency VAR

Postby paolo.zanghieri » Tue Jul 14, 2020 6:33 am

Version 11 Jun 23 2020 build (it still not working)

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 12688
Joined: Tue Sep 16, 2008 5:38 pm

Re: Mixed-Frequency VAR

Postby EViews Gareth » Tue Jul 14, 2020 7:29 am

Could you provide the exact settings you are using?
Follow us on Twitter @IHSEViews

AASA
Posts: 28
Joined: Fri Jun 29, 2018 2:37 pm

Re: Mixed-Frequency VAR

Postby AASA » Sat Sep 19, 2020 12:48 pm

I have tried to forecast using Bayesian VAR with the mixed frequency VAR. The forecast program crashes each time. I notice a previous user had the same problem, but I did not see a resolution response.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 12688
Joined: Tue Sep 16, 2008 5:38 pm

Re: Mixed-Frequency VAR

Postby EViews Gareth » Sat Sep 19, 2020 1:19 pm

What is the version number and build date of your copy of EViews? (Help->About EViews)
Follow us on Twitter @IHSEViews

AASA
Posts: 28
Joined: Fri Jun 29, 2018 2:37 pm

Re: Mixed-Frequency VAR

Postby AASA » Sat Sep 19, 2020 3:07 pm

Build date: 9/8/2020
EViews version: 11

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 12688
Joined: Tue Sep 16, 2008 5:38 pm

Re: Mixed-Frequency VAR

Postby EViews Gareth » Sat Sep 19, 2020 9:20 pm

Could you provide the workfile?
Follow us on Twitter @IHSEViews

AASA
Posts: 28
Joined: Fri Jun 29, 2018 2:37 pm

Re: Mixed-Frequency VAR

Postby AASA » Sat Sep 19, 2020 10:06 pm

Mixed frequency VAR file is attached. I have tried to forecast with the Bayesian method without success. The EViews YouTube does not mention that the variables need to be stationary. I assume the variables must be stationary. Looking at the Qtr. tab, VAR01 is a U-MIDAS VAR with non stationary variables. VAR02 is a Bayesian VAR with non stationary variables. VAR03 is a Bayesian VAR with stationary variables.
Attachments
var mixed q3.wf1
(650.72 KiB) Downloaded 88 times

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 12688
Joined: Tue Sep 16, 2008 5:38 pm

Re: Mixed-Frequency VAR

Postby EViews Gareth » Sun Sep 20, 2020 8:30 am

Thank you!

Will be fixed next patch.
Follow us on Twitter @IHSEViews

AASA
Posts: 28
Joined: Fri Jun 29, 2018 2:37 pm

Re: Mixed-Frequency VAR

Postby AASA » Sun Sep 20, 2020 11:54 am

Thank you!
You folks are wizards. As mentioned to you in the past, EViews is like a Ferrari or jet plane, and I'm just a go-cart driver or biplane pilot trying to make the most of what you folks offer. I really appreciate your videos, keep them coming.

paolo.zanghieri
Posts: 25
Joined: Wed Mar 05, 2014 10:52 am

Re: Mixed-Frequency VAR

Postby paolo.zanghieri » Mon Nov 23, 2020 1:24 pm

I am estimating a MFVAR with quarterly and monthly data and trying to produce nowcasts. Suppose I have quarterly data until Q2 and monthly data until August. If I understand the help file corretctly the forecast will not consider the monthy data available for Q3. Is there a way to use them?
Thanks

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 12688
Joined: Tue Sep 16, 2008 5:38 pm

Re: Mixed-Frequency VAR

Postby EViews Gareth » Mon Nov 23, 2020 10:06 pm

How do you want it to use it?
Follow us on Twitter @IHSEViews

paolo.zanghieri
Posts: 25
Joined: Wed Mar 05, 2014 10:52 am

Re: Mixed-Frequency VAR

Postby paolo.zanghieri » Tue Nov 24, 2020 8:58 am

I'd like to use the monthly data to create a sort of coditional forecast for the quarterly series.
Thanks

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 12688
Joined: Tue Sep 16, 2008 5:38 pm

Mixed-Frequency VAR

Postby EViews Gareth » Tue Nov 24, 2020 9:06 am

You’ll have to provide more detail.

From a mathematical point of view, how do you want the model to use that August value?
Follow us on Twitter @IHSEViews


Return to “Bug Reports”

Who is online

Users browsing this forum: No registered users and 8 guests