Search found 40 matches

by lisa
Tue Mar 23, 2021 6:57 am
Forum: Estimation
Topic: structural VAR and impulse response function
Replies: 2
Views: 327

Re: structural VAR and impulse response function

Thank you startz for your reply
by lisa
Sun Mar 21, 2021 9:07 am
Forum: Estimation
Topic: structural VAR and impulse response function
Replies: 2
Views: 327

structural VAR and impulse response function

Hello everybody, I want to estimate the dynamic response of GDP to a unit shock og government expenditure. In first stage, I estimated the structural VAR (the A and B matrices); then, using the impulse definition tab, I have the impulse responses of an expenditure shock (shock 2) in the attachement....
by lisa
Fri Feb 19, 2021 8:35 am
Forum: Econometric Discussions
Topic: stationarity test
Replies: 2
Views: 2904

Re: stationarity test

Thank you for your reply.
But the last video is not available.
by lisa
Fri Feb 19, 2021 8:03 am
Forum: Econometric Discussions
Topic: Impulse Response Function
Replies: 0
Views: 424

Impulse Response Function

Hello, I'am trying to estimate the impact of fiscal policy shocks on economic growth. To this end, I estimated a Structural VAR (SVAR) model with 3 variables (dlog(recsa), dlog(depensesa), dlog(pib_annsa)). My question is how to interpret these impulse response graphs in the attachment? impulse resp...
by lisa
Sun Dec 13, 2020 1:24 pm
Forum: Econometric Discussions
Topic: stationarity test
Replies: 2
Views: 2904

stationarity test

Hi, I will estimate a VAR model with 3 variables in logarithms (log(gdp), log(inflation rate) , log(interest rate)). My question is do I have to test the stationarity of variables (gdp , inflation rate and interest rate) or the stationarity of the logarithms of variables (log(gdp) , log(inflation ra...
by lisa
Sun Oct 18, 2020 1:05 pm
Forum: Econometric Discussions
Topic: unit root test
Replies: 0
Views: 4081

unit root test

I want to estimate a VAR model with 3 variables (log(x), log(y) and log(z)).
Please I have to test the stationarity of variables (x, y and z) or the stationarity of the log of variables (log(x), log(y) and log(z))??
by lisa
Thu Oct 15, 2020 12:26 pm
Forum: Econometric Discussions
Topic: error autocorrelation
Replies: 7
Views: 5200

Re: error autocorrelation

I have the same problem with more lags. I estimated the model with 4, 6, 7, 10 and 14 lags and I have the same problem of residual autocorrelation.
by lisa
Thu Oct 15, 2020 11:45 am
Forum: Econometric Discussions
Topic: error autocorrelation
Replies: 7
Views: 5200

Re: error autocorrelation

I have a missing variable. Thank you the problem is solved.
by lisa
Thu Oct 15, 2020 10:20 am
Forum: Econometric Discussions
Topic: error autocorrelation
Replies: 7
Views: 5200

Re: error autocorrelation

I have the same problem with all lags (2, 3, ..., 12). The 5 variables of my VAR model (dlog(tax revenue), dlog(public expenditure), log(real gdp), dlog(gdp deflator) and d(money market rate) are stationary; but the residuals of the model are autocorrelated (the probability of the Portmanteau Autoco...
by lisa
Tue Oct 13, 2020 3:23 pm
Forum: Programming
Topic: transform annual data
Replies: 6
Views: 5223

Re: transform annual data

Thank you. You help me a lot.
by lisa
Tue Oct 13, 2020 3:12 pm
Forum: Programming
Topic: transform annual data
Replies: 6
Views: 5223

Re: transform annual data

Please I have another question.
I want to trasform the annual series (gdp) to quarterly series using the Denton method and I don't have an indicator series. can I use the Denton method without indicator?
by lisa
Tue Oct 13, 2020 3:07 pm
Forum: Programming
Topic: transform annual data
Replies: 6
Views: 5223

Re: transform annual data

Thank you very much
by lisa
Mon Oct 12, 2020 1:43 am
Forum: Econometric Discussions
Topic: error autocorrelation
Replies: 7
Views: 5200

error autocorrelation

Please I want to estimate a VAR model with 5 stationary variables but the residuals of the model are correlated. How can I do?
by lisa
Thu Sep 24, 2020 1:20 pm
Forum: Programming
Topic: transform annual data
Replies: 6
Views: 5223

transform annual data

Hello. Please how can I turn an annual data series into a quarterly series?
by lisa
Sun Nov 27, 2011 12:45 pm
Forum: Estimation
Topic: state series of a kalman filter
Replies: 8
Views: 3175

Re: state series of a kalman filter

hello,
my problem is not solved.
when I wrote " ss01.makestates (t=filter) [sv11 sv12 sv13 sv14 sv21 sv22 sv23 sv24]" , eviews don't give me any result.
please help me.
thanks again.

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