ARW add-in

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dakila
Posts: 391
Joined: Tue Nov 24, 2015 4:57 pm

ARW add-in

Postby dakila » Wed Sep 11, 2019 5:50 pm

This thread is about the ARW add-in that implements Arias, Rubio-Ramirez and Waggoner algorithm for sign and zero restricted VARs.

pascalle
Posts: 6
Joined: Tue Jul 05, 2016 9:50 am

Re: ARW add-in

Postby pascalle » Thu Feb 20, 2020 10:09 am

Hi,
I just run the ARW add-in with the data provided in the add-in file. However, it shows the following warning:
Error 17 in encrypted program, and there is no any output about Figure 6: Importance Sampler Output.
May I know how can I fix this problem?

Thank you
Pascal

dakila
Posts: 391
Joined: Tue Nov 24, 2015 4:57 pm

Re: ARW add-in

Postby dakila » Sat Feb 22, 2020 4:23 am

What is the version of Eviews you use? It only works for the version 11.

pascalle
Posts: 6
Joined: Tue Jul 05, 2016 9:50 am

Re: ARW add-in

Postby pascalle » Mon Feb 24, 2020 3:10 pm

Dear dakila,
Thank you for your reply. I am using version 10.
Pascal

pascalle
Posts: 6
Joined: Tue Jul 05, 2016 9:50 am

Re: ARW add-in

Postby pascalle » Fri Feb 28, 2020 7:25 pm

Dear dakila,
May I know how can I obtain the forecast error of variance decomposition with its long horizon?
Thank you
Pascal

dakila
Posts: 391
Joined: Tue Nov 24, 2015 4:57 pm

Re: ARW add-in

Postby dakila » Sun Mar 01, 2020 5:51 pm

Just try to estimate the FEVD with the different long horizon and check the convergence.

pascalle
Posts: 6
Joined: Tue Jul 05, 2016 9:50 am

Re: ARW add-in

Postby pascalle » Mon Mar 02, 2020 5:13 am

Dear Dakila,
Thank you for your help.
Pascal

Nynk
Posts: 2
Joined: Sun May 03, 2020 4:50 am

Re: ARW add-in

Postby Nynk » Thu May 14, 2020 8:08 am

Dear Dakila,

When I try to estimate a zero and sign restricted VAR I always get error 15.
Do you know what might cause the problem?


I use these commands, I have 5 variables with monthly data.
matrix zeromatrix = @zeros(3,5)
zeromatrix(1,2)=1
zeromatrix(2,3)=1
zeromatrix(3,5)=1
matrix signmatrix =@zeros(2,5)
signmatrix(1,1)=1
signmatrix(2,4)=-1
arw(ndraws=1000, nsteps=24, horizons=2) 2 signmatrix zeromatrix @ lta lgdp lcp ciss lmro

dakila
Posts: 391
Joined: Tue Nov 24, 2015 4:57 pm

Re: ARW add-in

Postby dakila » Mon May 18, 2020 1:33 am

What is the version?

Nynk
Posts: 2
Joined: Sun May 03, 2020 4:50 am

Re: ARW add-in

Postby Nynk » Tue May 19, 2020 1:16 am

I have version 11, and the newest version of the Add-in

dakila
Posts: 391
Joined: Tue Nov 24, 2015 4:57 pm

Re: ARW add-in

Postby dakila » Tue May 19, 2020 3:37 am

If you don't know the restriction matrix syntax, you can use the dialogbox instead of command line

zero restriction matrix should be like this
matrix zeromatrix = @zeros(1,5)
zeromatrix(1,2)=1
zeromatrix(1,3)=1
zeromatrix(1,5)=1


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