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

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: 305
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: 305
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: 3
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: 305
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: 3
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 13 times

dakila
Posts: 305
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.

Shwan
Posts: 3
Joined: Thu Dec 21, 2017 7:03 am

Re: Threshold Structural VAR

Postby Shwan » Mon Feb 19, 2018 10:16 am

Hi dakila, would you please tell me in this TSVAR add-in, which method is applied to calculate the impulse responses? thanks

dakila
Posts: 305
Joined: Tue Nov 24, 2015 4:57 pm

Re: Threshold Structural VAR

Postby dakila » Mon Feb 19, 2018 11:38 am

The add-in computes average IRF for response variable, conditional on being in the upper or lower regime. The identification is recursive. So order of variables is matter.

jldimayuga
Posts: 1
Joined: Thu Feb 22, 2018 7:00 am

Re: Threshold Structural VAR

Postby jldimayuga » Wed Apr 11, 2018 11:05 am

Hi!

How do I modify threshold value in such a way that lower regime is recession and upper for growth?

Also, what should be the p values of sup, avg and exp wald?

Thank you!

lubamar
Posts: 3
Joined: Thu Aug 21, 2014 7:13 pm

Re: Threshold Structural VAR

Postby lubamar » Wed Apr 18, 2018 7:53 pm

Hi Dakila

I'm trying to understand what means this 2 variables

- length of moving average
- delay parameter

Can you explain them to me or post an reference?


Return to “Add-in Support”

Who is online

Users browsing this forum: No registered users and 1 guest