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Hi the resolution to this is to change the priors, if lambda 1 is too low, then we assume the prior values are more or less correct, which restricts the convergence of the model and leads to autocorrelation.

I see! Thank you very much!

Hello, I am using Eviews 8.1 and have really appreciated the incorporation of BVARs into the software. I did have some questions about the model which I couldnt find in the EVIEWs help file. Is it a gibbs sampling model? If so, is there a set number of iterations used to calculate the coefficients? ...

I am having a similar issue, It seems that by extending the lags, autocorrelation becomes more of an issue, rather than less...

Can I use the Portmanteau / AC LM test on BVARs? Or am I doing something wrong??

Hello, I am dealing with what I believe to be cointegrated statistics (Johansen says cointegration is present) however, when regressing the model the error terms are not stationary. One of the causes of this is autocorrelation in the dependent regressor. So by imposing an AR structure on the model, ...

Hello, I have estimated a system of equations and got the results. One of the values I take is the inverse of a coefficient, so I calculate the value by 1/c(2) to get the value im interested in. However, doing this with the standard error to measure significance creates an implauisibly large s.e., i...

Hi guys,

I managed to fix the problem by including AR(1) terms into the model. you can do this by doing something along the lines of the following:

cs = c(1) + c(2)*gdp + [ar(1)=c(3), ar(2)=c(4)]

Cheers

Hello, I am writing a system of three equations and have a major issue with autocorrelation (a DW of 0.2 for one equation) when I run the SUR regression To resolve the problem, I decided to do a VECM, but the third equation has a log lhs but an exponential in the rhs, so differencing the exponential...

If anyone could link me to a tutorial on how to get this thing working that would also be amazing, iv looked at the eviews manual and havnt had much luck.

Hello, I have a system of equations that I am using and there are cross equation restrictions for the system (the same coefficients appear in each equation). I read that the SUR estimation method would be best as I have no IVs for the estimation, the Eviews (8) work file says cross equation restrict...

Hello! I am trying to estimate a system of 3 equations - a production function and 2 first order conditions - and was hoping for some help! I am not really sure how to write the equations (some of the variables are non-linear and some just seem to be constants) for EViews and I would really apprecia...