Hello everyone,
I'm trying to perform a time-varying parameter SVAR with 4 variables on E-views 9. I have completely understoond the theory, however I don't know how to run the model or find the right priors on e-views.
Can anyone help me??? Tell me the basic steps??
Thank you in advance!
Search found 3 matches
- Thu Jan 26, 2017 3:12 pm
- Forum: Estimation
- Topic: Estimation of TVP-SVAR
- Replies: 1
- Views: 3523
- Wed Jan 25, 2017 8:32 am
- Forum: Econometric Discussions
- Topic: Bayesian VAR
- Replies: 3
- Views: 6662
Re: Bayesian VAR
Dear KrilleJ, Thank you for the prompt response. I will use all the information you gave me. U were so helpful, however the authors of the article that I use for my research claim that for this research the most appropriate way to set the priors is through the in-sample fitting. Do u have any ideas ...
- Wed Jan 25, 2017 4:19 am
- Forum: Econometric Discussions
- Topic: Bayesian VAR
- Replies: 3
- Views: 6662
Bayesian VAR
Dear all, This is the first time I'm trying to perform a Bayesian VAR in Eviews (Eviews 9) and I am a little bit confused. First of all, I have a database of 32 macroeconomic and financial variables. As I understood so far I have to run first a small VAR of 8 variables to find the right tightness fo...