Large Bayesian VAR

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dakila
Posts: 479
Joined: Tue Nov 24, 2015 4:57 pm

Re: Large Bayesian VAR

Postby dakila » Wed Feb 06, 2019 4:34 am

You should upgrade the eviews to version 10.

GEMOATH
Posts: 3
Joined: Tue Jan 29, 2019 2:22 am

Re: Large Bayesian VAR

Postby GEMOATH » Tue Feb 26, 2019 12:02 pm

Hi Dakila,

thank you for reply.
As you suggested I upgraded to Eviews 10.
However it returns me the message: Error 14 in the encrypted program.
Could you please guide me?

Thank you for your time

dakila
Posts: 479
Joined: Tue Nov 24, 2015 4:57 pm

Re: Large Bayesian VAR

Postby dakila » Wed Feb 27, 2019 5:26 am

Could you be more specific?
Can you run the example file, for example lbvar_ex0.prg?

psanchez6886
Posts: 1
Joined: Tue Mar 26, 2019 9:04 am

Re: Large Bayesian VAR

Postby psanchez6886 » Thu Mar 28, 2019 5:33 am

Hi Dakila, I am currently using the feature and it works very well. I was just wondering however, whether there is a way to run RMSE or MAE tests for the estimated LBVAR and whether it is possible to specify another structural estimation besides Cholesky and Generalised.

Thank you in advance

ouerk
Posts: 17
Joined: Tue May 23, 2017 11:29 am

Re: Large Bayesian VAR

Postby ouerk » Mon Nov 25, 2019 11:39 am

Hi
i have this error message when i compute lbvar
MIXED is not a valid view for TEMP
how can i solve it ?

THANKS

dakila
Posts: 479
Joined: Tue Nov 24, 2015 4:57 pm

Re: Large Bayesian VAR

Postby dakila » Mon Nov 25, 2019 4:49 pm

Hi
What is the version of Eviews you use?

ouerk
Posts: 17
Joined: Tue May 23, 2017 11:29 am

Re: Large Bayesian VAR

Postby ouerk » Tue Nov 26, 2019 3:11 am

hi

eviews9. I I just tried it with eviews10, the problem is solved.

thanks

dakila
Posts: 479
Joined: Tue Nov 24, 2015 4:57 pm

Re: Large Bayesian VAR

Postby dakila » Sun Aug 14, 2022 7:47 pm

The LBVAR add-in is updated. Now it includes Pandemics Prior of Cascaldi-Garcia (2022). I would like thank Dr. Ole Rummel (SEACEN centre) for suggestions and comments on Pandemic Priors.

ginanjar
Posts: 14
Joined: Tue Apr 01, 2014 5:19 am

Re: Large Bayesian VAR

Postby ginanjar » Fri Jul 28, 2023 6:38 am

Hi, is there a command to get the output lbvar specification so we know the coefficient?

dakila
Posts: 479
Joined: Tue Nov 24, 2015 4:57 pm

Re: Large Bayesian VAR

Postby dakila » Fri Jul 28, 2023 5:25 pm

No. I will try to include this option to get the coefficients soon.

ginanjar
Posts: 14
Joined: Tue Apr 01, 2014 5:19 am

Re: Large Bayesian VAR

Postby ginanjar » Sat Jul 29, 2023 5:55 am

thank you, it would be wonderful

dakila
Posts: 479
Joined: Tue Nov 24, 2015 4:57 pm

Re: Large Bayesian VAR

Postby dakila » Mon Jul 31, 2023 2:06 am

Sorry, I forget. I already included the option to save the coefficients. Command is save=1.
For example:

Code: Select all

lbvar(lambda=0.108, tau=1.08, sample="1961m1 2002m12", save=1) 13 irw ffr @ emp cpi .... exr

The coefficients are saved into beta_coef matrix.

ginanjar
Posts: 14
Joined: Tue Apr 01, 2014 5:19 am

Re: Large Bayesian VAR

Postby ginanjar » Mon Jul 31, 2023 11:25 pm

thank you

another question, does pand=1 option works with quarterly data? I try, but it throws internal error 6, 169 and 500

dakila
Posts: 479
Joined: Tue Nov 24, 2015 4:57 pm

Re: Large Bayesian VAR

Postby dakila » Thu Aug 03, 2023 6:13 pm

It should work with quaterly data. Could you provide the data and instruction?

ginanjar
Posts: 14
Joined: Tue Apr 01, 2014 5:19 am

Re: Large Bayesian VAR

Postby ginanjar » Thu Aug 03, 2023 9:04 pm

the first five commands work just fine

lbvar(estimate=1, sample="2000q1 2023q1", lambda=0.4, tau = 4, save=1, fit=" lcpipi lgdprl lexrpl", tsample="2000q1 2021q4" ) 4 irw10 lcsgnl @ lspen polrate surpdef lingnl lcsgnl lrev ltax lcpipi lgdprl lexrpl
lbvar(estimate=1, sample="2000q1 2023q1", lambda=0.4, tau = 4, save=1, fit=" lcpipi lgdprl lexrpl", tsample="2000q1 2021q4" ) 4 irw10 lingnl @ lspen polrate surpdef lingnl lcsgnl lrev ltax lcpipi lgdprl lexrpl
lbvar(estimate=1, sample="2000q1 2023q1", lambda=0.4, tau = 4, save=1, fit=" lcpipi lgdprl lexrpl", tsample="2000q1 2021q4" ) 4 irw10 lspen @ lspen polrate surpdef lingnl lcsgnl lrev ltax lcpipi lgdprl lexrpl
lbvar(estimate=1, sample="2000q1 2023q1", lambda=0.4, tau = 4, save=1, fit=" lcpipi lgdprl lexrpl", tsample="2000q1 2021q4" ) 4 irw10 lrev @ lspen polrate surpdef lingnl lcsgnl lrev ltax lcpipi lgdprl lexrpl
lbvar(estimate=1, sample="2000q1 2023q1", lambda=0.4, tau = 4, save=1, fit=" lcpipi lgdprl lexrpl", tsample="2000q1 2021q4" ) 4 irw10 ltax @ lspen polrate surpdef lingnl lcsgnl lrev ltax lcpipi lgdprl lexrpl

the last one is not:

lbvar(estimate=1, sample="2000q1 2023q1", lambda=0.4, tau = 4, save=1, fit=" lcpipi lgdprl lexrpl", tsample="2000q1 2021q4" , pand=1, dummy="dum1 dum2 dum3 dum4 dum5 dum6 dum7 dum8", covper=8, eps=0.001 ) 4 irw10 ltax @ lspen polrate surpdef lingnl lcsgnl lrev ltax lcpipi lgdprl lexrpl

thank you very much for your help

kind regards,
ginanjar
Attachments
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