Hi,
I am outputting impulse response functions for my 5 variable SVAR. I was wondering if there was anyway to customise the standard error bands that are given with your IRF. The default response standard errors is the +- 2 SD error bands. I was wondering if there was any way to change this to 1 SD error band for my Impulse responses.
Many thanks.
One SE Bands on IRF
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Re: One SE Bands on IRF
Hi,
Thank you for your response, I had a look at that but I couldn't quite understand the code.
My VAR command is as follows;
I'm running a 5 variable VAR and i've used the code below to output the IRF of a one SD shock in government spending to GDP;
var var1.ls 1 4 gov_spending gdp inflation tax_revenue interest_rate
var1.impulse(40, m, se=a) gdp @gov_spending @ gov_spending gdp inflation tax_revenue interest_rate
However, this outputs the IRF with the 'analytic' +-2 SD error band. I was wondering if you could tell me what command I need to display +-1 SD error band?
Thanks a lot.
Thank you for your response, I had a look at that but I couldn't quite understand the code.
My VAR command is as follows;
I'm running a 5 variable VAR and i've used the code below to output the IRF of a one SD shock in government spending to GDP;
var var1.ls 1 4 gov_spending gdp inflation tax_revenue interest_rate
var1.impulse(40, m, se=a) gdp @gov_spending @ gov_spending gdp inflation tax_revenue interest_rate
However, this outputs the IRF with the 'analytic' +-2 SD error band. I was wondering if you could tell me what command I need to display +-1 SD error band?
Thanks a lot.
Re: One SE Bands on IRF
Use the sirf add-in (v2.0).
Re: One SE Bands on IRF
EViews Matt wrote:Hello,
You can do this via EViews commands. See http://forums.eviews.com/viewtopic.php?t=2883.
Hi I had a look at this and I did the command;
var1.impulse(40, m, se=a, smat=yourownimpulse) gdp @gov_spending @ gov_spending gdp inflation tax_revenue interest_rate
I have the yourownimpulse and yourownimpulse_se vectors saved.
I'm just unsure what I do now. I tried typing yourownimpulse+1*yourownimpulse_se into the command window but that didn't work.
Sorry I haven't used eviews before so could you kindly tell me where I need to type or what I need to do with the "yourownimpulse+1*yourownimpulse_se" command.
Many thanks.
Re: One SE Bands on IRF
First install the sirf add-in. Then goto Add-ins/Download Add-ins. Then select the sirf add-in and install it.
After estimation IRF, goto Proc/Add-ins then select Scaled IRF. It will a dialog box. The rest is easy to fill.
You cant use command for the sirf add-in. It is only available for dialog interface.
After estimation IRF, goto Proc/Add-ins then select Scaled IRF. It will a dialog box. The rest is easy to fill.
You cant use command for the sirf add-in. It is only available for dialog interface.
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- EViews Developer
- Posts: 563
- Joined: Thu Apr 25, 2013 7:48 pm
Re: One SE Bands on IRF
"ourownimpulse+1*yourownimpulse_se" is just a mathematical expression for one of the bands, it's not a complete EViews command. You'd still need to create the graph from the IRF and SE data. That's where the sirf addin can save you a lot of work, but here's an example of recreating the 2 SE band graph for the response of the first variable to the first shock (top left graph). Obviously you can remove or replace the "2 *" in the code below to create bands at any scale.
Code: Select all
var1.impulse(40, m, imp=struct, se=a, smat=z) @imp 1 2 3 4 5
matrix tmp = @hcat(@hcat(z.@col(1), z.@col(1) + 2 * z_se.@col(1)), z.@col(1) - 2 * z_se.@col(1))
freeze(imp_graph) tmp.line
imp_graph.option linepat
imp_graph.elem(2) lcolor(red) lpat(dash1)
imp_graph.elem(3) lcolor(red) lpat(dash1)
show imp_graph
Re: One SE Bands on IRF
dakila wrote:First install the sirf add-in. Then goto Add-ins/Download Add-ins. Then select the sirf add-in and install it.
After estimation IRF, goto Proc/Add-ins then select Scaled IRF. It will a dialog box. The rest is easy to fill.
You cant use command for the sirf add-in. It is only available for dialog interface.
Hi
I follow this steps but I got error message (matrix vector index is out of range) why is that and how I can fix it?
thanks
Re: One SE Bands on IRF
The add-in only allows one variable for the impulse variable box. So don't select multiple variables.
Re: One SE Bands on IRF
Thank you
finally its work
finally its work
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