EViews.com

Seems obvious now that you say it, but it wasn't in the list I was looking at (evidently the wrong one). But anyway, thanks!

Hi, I am creating a script in which additional pages will be created for working with various frequencies. The only page the user needs to supply is a page with the daily frequency. However, if there is a page with the name "W" already, it will create "W1". How do I check the exi...

I think I got it now. The last part of the example code is replaced by string exclude for !i=1 to @wcount(%variable) %temp = @word(%variable, !i) + "(" + @addquotes(%smpl) + ")" exclude = @wunion(exclude, %temp) next model.exclude {exclude} which seems to work the way I want it to.

Hi! I have a program which is based on a prompt where the user provides a number of inputs. I'm now extending it and having some problems with one part. The program is for forecasting purposes, and what I would like to have is the user provide a list of variables and a sample for which these variabl...

Just to have this confirmed: the impulse responses are not accumulated, correct?

the number of df is defined to be v>m+1, not v>=m+1. I know your reference is Brandt & Freeman (2006), but I can't find it in there. They say that "v>0" which doesn't make much sense either... The Inverse-Wishart (or Wishart) distribution has finite expectations and can be invertible ...

Another question: Why is the prior degrees of freedom (v) equal to the number of endogenous variables (m) plus 1? In "Numerical Methods for Estimation and Inference in Bayesian VAR-models" (1997) by Kadiyala & Karlsson the number of df is defined to be v>m+1, not v>=m+1. I know your re...

I found it! In the szmodel.prg file, {%temp1} = @transpose({%X})*{%Y}+{%temp1} should simply be changed to {%temp1} = @transpose({%X})*{%Y} and, correspondingly, for the covariance matrix matrix {%St} = ({%S0} + @inner({%Y},{%Y}) + {%temp} - @transpose({%Bh})*{%hstar1}*{%Bh} ) should be changed to m...

Hi,

If I'd like to use the Sims-Zha Normal-Wishart prior, but change the prior expectation of the AR(1) coefficients to 0 instead of 1, where would I make this change? I can't really seem to figure out where it is exactly... Thanks in advance!

It turns out that what I was missing was that the coefficient matrix needed to be transposed first. Now it yields the same output as Eviews!

I tested with letting the P matrix be the identity matrix to get the same as the built-in function with one unit innovations. I realized that the assignment of values to the final table was not entirely correct as some matrices needed to be transposed first for the assignment to be correct. I'm assu...

Hi again, I have been working on this a while now, it's making me a little crazy. My code yields the same output for the first time period as I get when using the built-in function, but for some reason after that it's different. I have been looking at Helmut Lütkepohl's New Introduction to Multiple ...

Hi, I'm trying to program the impulse response functions using the Cholesky factorization, but I'm somewhat stuck. I need them for VARs with restrictions (i.e. estimated in a system object). Here's what I have to start with: Edit: See next post I always thought it was the Cholesky decomposition (i.e...

Hi, How do I estimate a VAR model without an intercept? In the following code, all three models are equivalent. create u 100 rndseed 1 series y=nrnd series x=nrnd var v1.ls 1 2 x y var v2.ls 1 2 x y @ var v3.ls 1 2 x y @ c Nothing following the endogenous variables or @ followed by nothing would be ...

Thanks, Gareth. I was suspecting that the NAs were a result of the type of calculation you described. I'll use my way around it then, but at least now I know for sure that there is nothing else causing the missing observations.