Factor Augmented VAR Analysis

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tcfoon
Posts: 54
Joined: Fri May 15, 2009 4:33 am

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

donihue
Posts: 137
Joined: Wed Oct 07, 2009 8:51 am

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 policy-maker. 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 Glenn
EViews Developer
Posts: 2636
Joined: Wed Oct 15, 2008 9:17 am

Re: Factor Augmented VAR Analysis

Which MATLAB FAVAR program do people use?

donihue
Posts: 137
Joined: Wed Oct 07, 2009 8:51 am

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 Stock-Watson 2005 paper on FAVARs at Mark Watson's site: http://www.princeton.edu/~mwatson/wp.html

Regards
Donihue

EViews Glenn
EViews Developer
Posts: 2636
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.

donihue
Posts: 137
Joined: Wed Oct 07, 2009 8:51 am

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 policy-makers without a direct EViews option, which is what THEY want...
Regards
Donihue

EViews Glenn
EViews Developer
Posts: 2636
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.

nicktz
Posts: 18
Joined: Thu Mar 28, 2013 1:41 am

Re: Factor Augmented VAR Analysis

Any update on the above promised efforts to have a FAVAR analysis enabled platform in Eviews??

EViews Glenn
EViews Developer
Posts: 2636
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.

dakila
Posts: 388
Joined: Tue Nov 24, 2015 4:57 pm

Re: Factor Augmented VAR Analysis

Londoner
Posts: 1
Joined: Thu Dec 10, 2015 3:08 pm

Re: Factor Augmented VAR Analysis

Thanks a lot for this very useful link.

Would it be possible to describe a little bit how works the add-in? Maybe with a simple example? The format of each in put is not clear.

Thank you!

dakila
Posts: 388
Joined: Tue Nov 24, 2015 4:57 pm

Re: Factor Augmented VAR Analysis

There is example file (favar_ex.prg) in the FAVAR add-in folder which replicates figure 2 of Bernanke, Boivin and Eliatsz (2005).

dakila
Posts: 388
Joined: Tue Nov 24, 2015 4:57 pm

Re: Factor Augmented VAR Analysis

martinit
Posts: 3
Joined: Tue Aug 16, 2016 6:17 am

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 add-in 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

dakila
Posts: 388
Joined: Tue Nov 24, 2015 4:57 pm

No