Hi fregensberg,
I ran the Hdecomp addin on the VAR, selected structural decomposition and looked at the histmat.
None of the columns looks anything like figure 8, whether the shocks are accumulated or not.
If you don't mind me asking, does it work on your machine?
Thanks,
Jamie
Search found 9 matches
- Thu Jun 05, 2014 5:45 am
- Forum: Add-in Support
- Topic: HDecomp (historical decomposition)
- Replies: 32
- Views: 81542
- Thu Jun 05, 2014 4:36 am
- Forum: Add-in Support
- Topic: HDecomp (historical decomposition)
- Replies: 32
- Views: 81542
Re: HDecomp (historical decomposition)
Hi guys, I'm trying to replicate the BQ results in figure 8 of their paper (as was the gentleman above). I've got the original data in the attached workfile and cannot, for the life of me, get the results to match using hdecomp. I'd be very grateful if you could advise me where I am going wrong or i...
- Tue May 06, 2014 9:26 am
- Forum: Econometric Discussions
- Topic: Beveridge Nelson in real-time
- Replies: 0
- Views: 1975
Beveridge Nelson in real-time
Hi all, I've been using the BNdecomp add-in to calculate the Beveridge-Nelson decomposition - very handy and great that it is available. But I am interested in looking at it in real time - the add-in requires de-meaned data and nobody knows what the sample mean will be in real-time. So I thought it ...
- Tue May 06, 2014 9:22 am
- Forum: Econometric Discussions
- Topic: Potential output, the Clark model and State Space Models
- Replies: 11
- Views: 14711
Re: Potential output, the Clark model and State Space Models
Hi guys, Thanks to Trubador for the suggestions - I still wasn't able to get the Clark model to work properly. Just in case anyone else is tempted to use it, I would suggest don't bother. Further reading revealed that the model is not well-identified - you really need to make some other restrictive ...
- Wed Apr 30, 2014 10:09 am
- Forum: Estimation
- Topic: Real time principal components analysis
- Replies: 0
- Views: 1974
Real time principal components analysis
Hi all,
Looking to estimate an output gap using PCA but would like to do create a real-time series.
Anyone know if there is some functionality in eviews for this or whether it requires a program to be written?
Very grateful of assistance,
Jamie
Looking to estimate an output gap using PCA but would like to do create a real-time series.
Anyone know if there is some functionality in eviews for this or whether it requires a program to be written?
Very grateful of assistance,
Jamie
- Wed Apr 30, 2014 9:17 am
- Forum: Econometric Discussions
- Topic: Hodric Prescott
- Replies: 1
- Views: 2737
Re: Hodric Prescott
It is better to use a filter (it better captures movements in potential output) - but be aware that it is much less reliable at the end of the sample.
- Wed Apr 30, 2014 9:10 am
- Forum: Econometric Discussions
- Topic: Potential output, the Clark model and State Space Models
- Replies: 11
- Views: 14711
Re: Potential output, the Clark model and State Space Models
Hi everyone, thanks very much for the helpful suggestion from Nicholasr. Sadly an undiagnosed problem remains... I now have a model which is the same as the first Clark model I posted above - a time varying drift assumption, I think would be asking too much from one time series so I have held it fix...
- Thu Apr 17, 2014 7:58 am
- Forum: Estimation
- Topic: NAIRU and Kalman Filter
- Replies: 15
- Views: 17282
Re: NAIRU and Kalman Filter
Hi Sunny, I'm trying to do something similar on UK data so if you have any success I would be very grateful if you could post your workfile so I can see what worked for you.
Many thanks and best of luck,
Jamie
Many thanks and best of luck,
Jamie
- Thu Apr 17, 2014 7:45 am
- Forum: Econometric Discussions
- Topic: Potential output, the Clark model and State Space Models
- Replies: 11
- Views: 14711
Potential output, the Clark model and State Space Models
Good afternoon, I've been trying to estimate potential output using the Clark model on UK data and had no success getting plausible estimates. I'd be very grateful if someone could point out what it is I'm doing wrong. I have considered two models: The first is the standard Clark model @signal gdp =...