Time varying SVAR
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Re: Time varying SVAR
Can anyone please help me find example files/folder about TV SVAR? Eviews Addin page directly install the program to eviews, and not showing any folder/zip file.
Re: Time varying SVAR
C:\Users\...\Documents\EViews Addins\TVSVAR
Re: Time varying SVAR
Hello, i am trying to run a between two time series.
Do the series need to be stationary? Also i'm getting a error message "Vector assigned to sym"
Any suggestions?
Do the series need to be stationary? Also i'm getting a error message "Vector assigned to sym"
Any suggestions?
Re: Time varying SVAR
No. Could you post the workfile?
Re: Time varying SVAR
hi, i'm trying to restrict Gibbs sampling iterations but program is still running for 1000 iterations, how do i control for iterations?
Re: Time varying SVAR
There is a bug. You can use the dialog interface instead of the command interface. I will fix it soon.
Re: Time varying SVAR
dakila wrote:No. Could you post the workfile?
Thank you for your response.
I have attached the workfile. I experimented a bit with the example and this error does not occur when i include three time series in a var. However, after i tried to run my var(3) at the end i get a message saying "gm01 is not the same length as the sample" and no figures are presented.
EDIT: I forgot to include the date vector. You can use this: svector date=@wsplit("2009:03 2013:07")
 Attachments

 draft1.wf1
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Re: Time varying SVAR
You are right. Try to put at least 3 variables.
If there are missing observations with NA then it will give you the error ("gm01 is not the same length as the sample").
So adjust your sample. For example, use pagestruct command or click on the range.
I will fix this bug soon.
If there are missing observations with NA then it will give you the error ("gm01 is not the same length as the sample").
So adjust your sample. For example, use pagestruct command or click on the range.
I will fix this bug soon.
Re: Time varying SVAR
The tvsvar addin is updated. It includes some fixes.
Re: Time varying SVAR
Hi, Thanks for updation, but it is still giving some msg like 'GM01 is not the same lenght as sample lenght'.. What does this mean can anyone help please?
Re: Time varying SVAR
Ok now its working. I figured out the problem. But could you please guide me about IRs. Are they accumulated or not? How can I have data series of impulse responses generated through TV SVAR.
Re: Time varying SVAR
Hello Davaa,
I have some problems with my data, i mainly use stationary variables and your program returns a near singular matrix error, i also tried using data in level (and transformed in logarithm), reducing the number of endogenous variables, changing the range but the problem remain the same. Please see my workfile below. For your information the impulse variable is the global liquidity indicator.
Thank you davaa.
EDIT: I made a mistake concerning the Global liquidity indicator so i fixed it. I add also the growth rate version and HP filtered version of my data, which return the near singular matrix error too.
I have some problems with my data, i mainly use stationary variables and your program returns a near singular matrix error, i also tried using data in level (and transformed in logarithm), reducing the number of endogenous variables, changing the range but the problem remain the same. Please see my workfile below. For your information the impulse variable is the global liquidity indicator.
Thank you davaa.
EDIT: I made a mistake concerning the Global liquidity indicator so i fixed it. I add also the growth rate version and HP filtered version of my data, which return the near singular matrix error too.
Last edited by nadybe on Fri Sep 16, 2016 2:35 pm, edited 2 times in total.
Re: Time varying SVAR
I forgot to specify something, The forex and reserves are basically the same variables so you should include just one of them in your specification.
Thank you davaa.
edit: I also transformed the data into growth rate but i get the same error (near singular matrix)
EDIT 2: I managed to launch the program with my data (stationary and in level) but i have new error after the iteration ends : "size do not match in matrix function" WHAT SHOULD I DO TO FIX THIS???
Best regards
Thank you davaa.
edit: I also transformed the data into growth rate but i get the same error (near singular matrix)
EDIT 2: I managed to launch the program with my data (stationary and in level) but i have new error after the iteration ends : "size do not match in matrix function" WHAT SHOULD I DO TO FIX THIS???
Best regards
Re: Time varying SVAR
Hello Davaa
I managed to get results, but i have one last question, What is the maximum endogenous variables you can use with your program, i have out of memory and sometimes near singular matrix errors when i put more than 4 endogenous variables in the program. Also the date selection vector cannot support more than approx 7 dates for me, at least considering my data.
Best regards
I managed to get results, but i have one last question, What is the maximum endogenous variables you can use with your program, i have out of memory and sometimes near singular matrix errors when i put more than 4 endogenous variables in the program. Also the date selection vector cannot support more than approx 7 dates for me, at least considering my data.
Best regards
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