FAVAR addin
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Re: FAVAR addin
Dakila  Thank you for the useful addin. Is there a way to apply the scaled IRF addin to the FAVAR addin?
Re: FAVAR addin
Good idea. I will try to code it.
Re: FAVAR addin
Thank you, Dakila. Is there a possibility of running cumulative IRFs in your addin?
Re: FAVAR addin
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.
Re: FAVAR addin
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!
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!
Re: FAVAR addin
"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 : Cb2*FFR
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 : Cb2*FFR
Re: FAVAR addin
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?
Re: FAVAR addin
Yes, I think that made the difference.
Re: FAVAR addin
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.
Thanks a lot.
Re: FAVAR addin
Did you read the instruction which is located in C:\Users\...\Documents\EViews Addins\FAVAR (Favar Package.pdf)?
Re: FAVAR addin
Yes but I still have problems!
Could you explain how to enter variables polease.
Thanks a lot.
Could you explain how to enter variables polease.
Thanks a lot.
Re: FAVAR addin
there is an example program which replicates BBE (2005)
After running this code, fill the boxes. (Please see the attachment)
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
xdata.add series{!i}
next
xdata.drop series77
' Slowmoving variables
group xslow
for !i=1 to 53
xslow.add series{!i}
next
for !i=103 to 119
xslow.add series{!i}
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 5720 times
Re: FAVAR addin
Hi,
i have this ERROR message when i run the program : MATRIX SIZE MISMATCH
please can you help me ?
THANK you !!
i have this ERROR message when i run the program : MATRIX SIZE MISMATCH
please can you help me ?
THANK you !!
Re: FAVAR addin
if you have missing value, change the sample size.
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