Diebold-Yilmaz index

[dakila]

This thread is about the dyindex add-in that estimates the Diebold-Yilmaz index of spillover using forecast error variance decomposition method of a VAR model.

[paolo.zanghieri]

Great. Very useful add in. Is there a way to recover the time series of the pairwise interconnection measures?
Thanks

[dakila]

The add-in is updated to include the option to save the pairwise spillovers.

[paolo.zanghieri]

thanks a lot. Just a final clarification. the series pc_i_J must be interpreded as share of unit i's variability due to j? Moreover each column in the fromvar (tovar) matric is the chare of variance due to (contributing to) other units, right? thanks again

[dakila]

yes

[dlodlod]

Thank you for the add-in. I need help please. When I try to run the add-in I get an error message which says "Sizes do not match in matrix function". I cannot figure out how to fix this. I do see that the matrices have different orders but my challenge is how do I get around this.
Background to my research: I want to calculate a spillover index for monetary policy variables which are measured on a quarterly basis. I have attached the file so you can see the VAR I have run (named var01). When I try to run the add-in from the VAR, that's when I get the error message. Any assistance/advice will be greatly appreciated.

[dakila]

Did you read the instruction document ? (dyindex.pdf file located in add-in folder)
You cant run the add-in from the VAR. You should open it first from Add-ins menu. Or try command line.

[bibi.dostmohamed2]

Hello ,am having "illegal lag selection" when using the dyindex.Can you help me solving this please ?

[dakila]

Could describe the data? Or upload data file?

[bibi.dostmohamed2]

Thank you for responding .I need to calculate the return spillover with those returns.Tests about the lag etc were done and was 1

[dakila]

The sample size of time series is too short. So you cannot choose lags greater than 1.

[bibi.dostmohamed2]

Thank you for your reply.But when am inputting the number of lags 1, i am having illegal lag specification.

[dakila]

Change the rolling windows parameter. for example, the following command worked for me

Code: Select all

dyindex(window=60) 2 @ usd_aud usd_cny usd_jpy usd_rub

window=60 - rolling window parameter

[bibi.dostmohamed2]

Thank you loads.It worked.

[abdhut123]

hi, I am getting an error "sizes do not match in matrix function" when I'm doing generalized rather than Cholesky. When I'm doing Cholesky I'm able to get the result'.....but I want to do generalized...please help me