FAVAR addin
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Re: FAVAR addin
hey dakila,
I could solve the problem on my own. Apperently this only appears when using eviews 9. In eviews 10 everything works perfectly fine. Another very important question is how you handled the forecast error variance decomposition. I know how it works in standard VAR models but I never did that in a FAVAR since the variables arent directly included in the VAR. Am I right to suppose that you cant just multiply the standard Forecast error variance decomposition by the factor loadings? In the BBE paper the formular is quit confusing, since its seem like this is exactly what they did. How did you handle that
Best,
Ben
I could solve the problem on my own. Apperently this only appears when using eviews 9. In eviews 10 everything works perfectly fine. Another very important question is how you handled the forecast error variance decomposition. I know how it works in standard VAR models but I never did that in a FAVAR since the variables arent directly included in the VAR. Am I right to suppose that you cant just multiply the standard Forecast error variance decomposition by the factor loadings? In the BBE paper the formular is quit confusing, since its seem like this is exactly what they did. How did you handle that
Best,
Ben
Re: FAVAR addin
Code: Select all
vardecx=lam.@t*varf*lam ' variance in x's due to monetary shock
vardecxtot=lam.@t*varftot*lam ' variance in x's due to all commom factors
vardecxcom=@ediv(@getmaindiagonal(vardecx), @getmaindiagonal(vardecxtot))
Re: FAVAR addin
Thanks for sharing parts of your code. So basically you calculated the part the forecast variance of the variable explained by the monetary policy shock relativ to the variance explained by all factors and the monetary policy shock? Thanks for your help and providing an insight into your code
Ben
Ben
Re: FAVAR addin
Hey its me again,
we are struggling with heteroskedasticity in our favar and we know that there are bootstrap meausures which account for that when constructing confidence bands. Could you tell/show us, which bootsstrap measure you applied?
we are struggling with heteroskedasticity in our favar and we know that there are bootstrap meausures which account for that when constructing confidence bands. Could you tell/show us, which bootsstrap measure you applied?

 Posts: 3
 Joined: Thu Mar 29, 2018 1:38 pm
Re: FAVAR addin
Hello,
is it possible to obtain the IRF for a variable which is only differenced and not logdifferenced (has negative values) using your addin, please?
My second question is connected with the IRF interpretation. Is the y axis in standard deviations of original variables or in standard deviations of variables trasformed to exhibit stationarity (for example: if the variable is logdifferenced, is the yaxis unit of IRF standard deviation of level or standard deviation of log of the original variable)? Thank you very much.
is it possible to obtain the IRF for a variable which is only differenced and not logdifferenced (has negative values) using your addin, please?
My second question is connected with the IRF interpretation. Is the y axis in standard deviations of original variables or in standard deviations of variables trasformed to exhibit stationarity (for example: if the variable is logdifferenced, is the yaxis unit of IRF standard deviation of level or standard deviation of log of the original variable)? Thank you very much.
Re: FAVAR addin
Hi,
It now includes the first difference option (code=2).Please update the favar addin.
Y axis is in standard deviation unit (0 mean, 1 variance) of untransformed variable.
It now includes the first difference option (code=2).Please update the favar addin.
Y axis is in standard deviation unit (0 mean, 1 variance) of untransformed variable.

 Posts: 3
 Joined: Thu Mar 29, 2018 1:38 pm
Re: FAVAR addin
Thank you very much for your reply. Unfortunately, I can't update the addin anymore as it says: "Could not open file due to: unknown error." I tried both Eviews 9 and 10 at work. At the same time, I can update other Eviews addins without any issues, so it seems that this error is specific to FAVAR addin only at the moment.

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 11902
 Joined: Tue Sep 16, 2008 5:38 pm

 Posts: 3
 Joined: Thu Mar 29, 2018 1:38 pm
Re: FAVAR addin
It works now. Thank you very much!
Re: FAVAR addin
Hello;
Is it possible to see factor loadings or where can be found? And is it possible to estimate VAR with dummy variables or exogenous variables?
Thanks..
Is it possible to see factor loadings or where can be found? And is it possible to estimate VAR with dummy variables or exogenous variables?
Thanks..
Re: FAVAR addin
Hi Dakila;
Thank you for the quick response. But where exactly can I find the loadings? I try to classify the factors but I did not find that which factor is affected by which variable. Thanks.
Thank you for the quick response. But where exactly can I find the loadings? I try to classify the factors but I did not find that which factor is affected by which variable. Thanks.
Re: FAVAR addin
For example:
Code: Select all
equation eq.ls series01 _facrot1 _facrot2 _facrot3 ffr
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