Diebold-Yilmaz index
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Diebold-Yilmaz index
This thread is about the dyindex add-in that estimates the Diebold-Yilmaz index of spillover using forecast error variance decomposition method of a VAR model.
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- Posts: 49
- Joined: Wed Mar 05, 2014 10:52 am
Re: Diebold-Yilmaz index
Great. Very useful add in. Is there a way to recover the time series of the pairwise interconnection measures?
Thanks
Thanks
Re: Diebold-Yilmaz index
The add-in is updated to include the option to save the pairwise spillovers.
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- Posts: 49
- Joined: Wed Mar 05, 2014 10:52 am
Re: Diebold-Yilmaz index
thanks a lot. Just a final clarification. the series pc_i_J must be interpreded as share of unit i's variability due to j? Moreover each column in the fromvar (tovar) matric is the chare of variance due to (contributing to) other units, right? thanks again
Re: Diebold-Yilmaz index
Thank you for the add-in. I need help please. When I try to run the add-in I get an error message which says "Sizes do not match in matrix function". I cannot figure out how to fix this. I do see that the matrices have different orders but my challenge is how do I get around this.
Background to my research: I want to calculate a spillover index for monetary policy variables which are measured on a quarterly basis. I have attached the file so you can see the VAR I have run (named var01). When I try to run the add-in from the VAR, that's when I get the error message. Any assistance/advice will be greatly appreciated.
Background to my research: I want to calculate a spillover index for monetary policy variables which are measured on a quarterly basis. I have attached the file so you can see the VAR I have run (named var01). When I try to run the add-in from the VAR, that's when I get the error message. Any assistance/advice will be greatly appreciated.
- Attachments
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- data - var.wf1
- (360.64 KiB) Downloaded 1229 times
Re: Diebold-Yilmaz index
Did you read the instruction document ? (dyindex.pdf file located in add-in folder)
You cant run the add-in from the VAR. You should open it first from Add-ins menu. Or try command line.
You cant run the add-in from the VAR. You should open it first from Add-ins menu. Or try command line.
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- Posts: 4
- Joined: Wed Oct 17, 2018 8:02 am
Re: Diebold-Yilmaz index
Hello ,am having "illegal lag selection" when using the dyindex.Can you help me solving this please ?
Re: Diebold-Yilmaz index
Could describe the data? Or upload data file?
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- Posts: 4
- Joined: Wed Oct 17, 2018 8:02 am
Re: Diebold-Yilmaz index
Thank you for responding .I need to calculate the return spillover with those returns.Tests about the lag etc were done and was 1
- Attachments
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- New Monthly Return.xlsx
- The file about the returns
- (22.08 KiB) Downloaded 1139 times
Re: Diebold-Yilmaz index
The sample size of time series is too short. So you cannot choose lags greater than 1.
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- Posts: 4
- Joined: Wed Oct 17, 2018 8:02 am
Re: Diebold-Yilmaz index
Thank you for your reply.But when am inputting the number of lags 1, i am having illegal lag specification.
Re: Diebold-Yilmaz index
Change the rolling windows parameter. for example, the following command worked for me
window=60 - rolling window parameter
Code: Select all
dyindex(window=60) 2 @ usd_aud usd_cny usd_jpy usd_rub
window=60 - rolling window parameter
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- Posts: 4
- Joined: Wed Oct 17, 2018 8:02 am
Re: Diebold-Yilmaz index
Thank you loads.It worked.
Re: Diebold-Yilmaz index
hi, I am getting an error "sizes do not match in matrix function" when I'm doing generalized rather than Cholesky. When I'm doing Cholesky I'm able to get the result'.....but I want to do generalized...please help me
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