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jjw_10
Posts: 4
Joined: Sat Dec 28, 2013 10:32 am

Dakila - Thank you for the useful add-in. Is there a way to apply the scaled IRF add-in to the FAVAR add-in?

dakila
Posts: 334
Joined: Tue Nov 24, 2015 4:57 pm

Good idea. I will try to code it.

jjw_10
Posts: 4
Joined: Sat Dec 28, 2013 10:32 am

Thank you, Dakila. Is there a possibility of running cumulative IRFs in your add-in?

dakila
Posts: 334
Joined: Tue Nov 24, 2015 4:57 pm

Yes, It actually do the cumulative IRFs when you transform the variable. For example, if you put the transformation code 4 or 5 it will accumulate the IRFs.

jjw_10
Posts: 4
Joined: Sat Dec 28, 2013 10:32 am

Ahh, ok. Thanks.

Posts: 2
Joined: Sat Jun 10, 2017 1:57 pm

Hi,

I tried to get the factors by the usual way of principal components, but I didn´t have the same series. Also I can see that the final factors used in VAR have "rot" in its labels. Does it have any other treatment, or could you please tell me the way to get it? Thanks!

dakila
Posts: 334
Joined: Tue Nov 24, 2015 4:57 pm

"ROT" means the rotated factors. In order to estimate the factors do the following steps:
1) estimate factors (C) using all variables except FFR (you did this step)
2) estimate slow moving factors (Fs) from the slow moving variables.
3) estimate the regression by OLS : C=b1*Fs + b2*FFR + e
4) estimate the rotated factors : C-b2*FFR

Posts: 2
Joined: Sat Jun 10, 2017 1:57 pm

Thank you! I got them but with a very small difference. Maybe that's because I didn't standardize my variables (since all of them were stationaries), do you think thats made the difference?

dakila
Posts: 334
Joined: Tue Nov 24, 2015 4:57 pm

Yes, I think that made the difference.

ilef
Posts: 2
Joined: Fri Jun 30, 2017 6:23 am

Hello, I want to apply FAVAR on eviews but I found difficulties in entering variables on the dialog box, please can you help me?
Thanks a lot.

dakila
Posts: 334
Joined: Tue Nov 24, 2015 4:57 pm

Did you read the instruction which is located in C:\Users\...\Documents\EViews Addins\FAVAR (Favar Package.pdf)?

ilef
Posts: 2
Joined: Fri Jun 30, 2017 6:23 am

Yes but I still have problems!
Could you explain how to enter variables polease.
Thanks a lot.

dakila
Posts: 334
Joined: Tue Nov 24, 2015 4:57 pm

there is an example program which replicates BBE (2005)

Code: Select all

' BBE (2005) replicaton
' Figure 2
' Table 1

%path = @runpath
cd %path

' open the BBE data that is transformed to induce stationarity
wfopen(type=txt) nsbalpanel.txt delim=space
pagestruct(freq=m,start=1959)

'rename some variables

for !i=1 to 9
rename series0{!i} series{!i}
next

'standardize all variables for principal component analsyis

for !i=1 to 120
series{!i}=(series{!i} - @mean(series{!i}))/@stdevp(series{!i})
next

'Y variables
genr ffr=series77

'All variables (X) except Y variable (FFR)

group xdata
for !i=1 to 120
next
xdata.drop series77

' Slow-moving variables
group xslow
for !i=1 to 53
next
for !i=103 to 119
next

' Selection of key variables for impulse response analysis
group xir
xir.add series16 series108 series78 series81 series96 series93 series74 series102 series17 series49 series50 series51 series26 series48 series118 series54 series62 series71 series120

'Vector of transformation code of Y (ffr) variable + selection of key variables (xir)
'1 for no transformation
'4 for logarithm
'5 for first difference of logarithm

vector tcode =@fill(1, 5, 5, 1, 1, 5, 5, 5, 1, 1, 5, 5, 5, 1, 1, 5, 4, 1, 1, 1)

'Name of Y variables Y(ffr) + selected key variables (xir)
' Please first put a name of Y variable then selected variables
text yx_name
yx_name.append(file) yxirlabel.txt

' or append manually
' yx_name.append FFR
' yx_name.append IP
' yx_name.append CPI
'......
' yx_name.append Consumer Expectation

'favar(factor=3,horizon=48,rep=1000,ci=0.9,vd=1,save=1) 13 xdata xslow xir tcode yx_name @ ffr

After running this code, fill the boxes. (Please see the attachment)
Attachments
favar2step.PNG (14.26 KiB) Viewed 2049 times

ouerk
Posts: 14
Joined: Tue May 23, 2017 11:29 am

Hi,
i have this ERROR message when i run the program : MATRIX SIZE MISMATCH

please can you help me ?
THANK you !!

dakila
Posts: 334
Joined: Tue Nov 24, 2015 4:57 pm