Threshold Structural VAR

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ege_man
Posts: 4
Joined: Thu Dec 10, 2015 8:30 am

Re: Threshold Structural VAR

Postby ege_man » Wed Dec 06, 2017 8:23 am

Dear
I estimate a threshold VAR model using this addin but I would like to print them into table to see the differences in the upper and lower regimes. But the results are just presented in terms of Figure. Is there command for this?
Thanks for your help

dakila
Posts: 291
Joined: Tue Nov 24, 2015 4:57 pm

Re: Threshold Structural VAR

Postby dakila » Wed Dec 06, 2017 4:17 pm

Not yet.

bizhenyu1234
Posts: 4
Joined: Wed Nov 22, 2017 3:26 am

Re: Threshold Structural VAR

Postby bizhenyu1234 » Mon Dec 11, 2017 1:34 am

Dear,

Thanks for the useful add-in. Anyway, I have problem when running the threshold VAR. I got the error message "68 is not a valid index for vector-series-coefficient D1V". May I know how to solve this problem? I have 69 observations.

Thank you!

dakila
Posts: 291
Joined: Tue Nov 24, 2015 4:57 pm

Re: Threshold Structural VAR

Postby dakila » Tue Dec 12, 2017 5:34 pm

If you have missing observations then adjust the sample size.

ege_man
Posts: 4
Joined: Thu Dec 10, 2015 8:30 am

Re: Threshold Structural VAR

Postby ege_man » Sat Dec 16, 2017 2:59 am

I opened the prg file of the but it is encrypted, i would like to just tabulate the results or graph just positive responses. Is it possible to remove negative responses in the graph?
Regards

Shwan
Posts: 2
Joined: Thu Dec 21, 2017 7:03 am

Re: Threshold Structural VAR

Postby Shwan » Tue Jan 02, 2018 5:34 am

Hi, thank you very much for this usefull add in. What I understand is that this add in estimates a threshold SVAR, so the errors are uncorrelated structural shocks?
however my concern is about restrictions in SVAR, there is no possibility to impose the short and long run restrictions on SVAR when using the THSVAR?
Thanks

dakila
Posts: 291
Joined: Tue Nov 24, 2015 4:57 pm

Re: Threshold Structural VAR

Postby dakila » Tue Jan 02, 2018 5:49 pm

It estimates the Generalized IRF. It is not possible to impose SR or LR restrictions.

lubamar
Posts: 2
Joined: Thu Aug 21, 2014 7:13 pm

Re: Threshold Structural VAR

Postby lubamar » Mon Jan 29, 2018 8:36 pm

Hi Dakila

Please, can you help me with a problem? I'm trying to estimate a T-var, but i'm getting "division by zero" error.

The T-var i'm trying to estimate is "dlcambio dlpib dlselic lipca lexp2" with 4 lags .

Where: Dlcambio- Exchange rate
DlPIB- Brazilian GDP
DLSelic- Brazilian interest rate
LEXP2- Brazilian 2 years inflation expectation
LIPCA-Brazilian Inflation

My threshold variable is lexp2

Bests
Attachments
Bra inflation.WF1
(39.4 KiB) Downloaded 3 times

dakila
Posts: 291
Joined: Tue Nov 24, 2015 4:57 pm

Re: Threshold Structural VAR

Postby dakila » Tue Jan 30, 2018 12:11 am

The sample size is very short. Try to reduce the lag number. For example reduce the lag to 2.


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