Threshold Structural VAR

For questions about EViews Add-ins available from the EViews Add-ins webpage. Note each add-in available on our webpage will have its own individual thread.

Moderators: EViews Gareth, EViews Moderator, EViews Esther

nasa
Posts: 39
Joined: Tue Aug 02, 2016 12:41 am

Re: Threshold Structural VAR

Postby nasa » Sun Aug 20, 2017 12:47 am

Hi,

Here is my work file and I think based on the formula, the following is the result.Is that right,please?
The endogenous variables are: dgdp,dspending,dtax and the threshold variable and response variable is dgdp and the lag length for the VAR is 2.
Degrees of freedom=N-1.
b = 0.15*(2014q2-1960q1+1)+3-217
= 0.15*(218+1)+3-217
=-181.15
thsvar workfile.WF1
(151.16 KiB) Downloaded 3 times


Best.

dakila
Posts: 254
Joined: Tue Nov 24, 2015 4:57 pm

Re: Threshold Structural VAR

Postby dakila » Sun Aug 20, 2017 2:04 am

I don't think so. The degrees of freedom is just for adjustment of the sample size. It should not be big number. It may be between 0 to 5.

nasa
Posts: 39
Joined: Tue Aug 02, 2016 12:41 am

Re: Threshold Structural VAR

Postby nasa » Sun Aug 20, 2017 2:14 am

ok,

may be the formula is wrong or what is my wrong here is then?

plus can i get the impulses result in table form,please?

Best.

nasa
Posts: 39
Joined: Tue Aug 02, 2016 12:41 am

Re: Threshold Structural VAR

Postby nasa » Fri Sep 08, 2017 12:26 am

Hi,

I think that the thsvar will be very useful add in for econometricians if it can include confidence intervals based on Monte Carlo simulations for the GIRFs. It could help them to better interpret the results.

Best

dakila
Posts: 254
Joined: Tue Nov 24, 2015 4:57 pm

Re: Threshold Structural VAR

Postby dakila » Mon Sep 11, 2017 3:40 pm

thanks for the comment


Return to “Add-in Support”

Who is online

Users browsing this forum: No registered users and 3 guests