Diebold-Yilmaz index
Moderators: EViews Gareth, EViews Moderator, EViews Esther
-
- Posts: 11
- Joined: Wed Jul 10, 2019 6:57 am
Re: Diebold-Yilmaz index
thanks. does the fromvar1_matrix represent spillovers from series i to the whole matrix or all j?
Re: Diebold-Yilmaz index
Each column in the fromvar (tovar) matric is the share of variance due to (contributing to) other units.
-
- Posts: 11
- Joined: Wed Jul 10, 2019 6:57 am
Re: Diebold-Yilmaz index
I'm frequently getting "error 6 in program", using eviews 12, and daily chg data on bond yields. It seems to be fine if I just use the level of yields. Any possible reason? Would having a few zeros create problems?
-
- Posts: 11
- Joined: Wed Jul 10, 2019 6:57 am
Re: Diebold-Yilmaz index
dakila wrote:Each column in the fromvar (tovar) matric is the share of variance due to (contributing to) other units.
Thanks. To clarify, some of my columns are >100 in tovar, so I'm trying to figure out how to interpret this (as it can't be the percent share). Do I need to take another step, so column 1/divided sum of columns, would be the outward spillover index for that variable?
To be very specific, does the 'tovar' metric correspond to the row "contribution to others" in the attached matrix (on a rolling basis of course)?
- Attachments
-
- Capture.JPG (210.6 KiB) Viewed 19822 times
Re: Diebold-Yilmaz index
Hello, when I calculate the Diebold-Yilmaz spillover index using 51 series, I get the error message 'Error 1114 in encrypted program'.
Is there an upper limit to the number of series available?
I am an EViews13 user and used the command line ('dyindex 4 @ ser01 ser02 ser03 ... ser51').
Is there an upper limit to the number of series available?
I am an EViews13 user and used the command line ('dyindex 4 @ ser01 ser02 ser03 ... ser51').
Re: Diebold-Yilmaz index
No. Maybe you have matrix inversion problem because of multicollinearity.
Re: Diebold-Yilmaz index
Thanks for your comment! I will check it out.
Re: Diebold-Yilmaz index
Hello, when I tried to run the Add-in, the following error message came up "Error 20 in encrypted program". What's the problem here?
Re: Diebold-Yilmaz index
You have to open the data file with extension wf1 before open the dialog box (the menu).
Re: Diebold-Yilmaz index
Thanks for the feedback. There is another error message = Error 500 in encrypted program. Any idea what this is? And if you could share a list of error messages for the dyindex is much appreciated. That would help me to troubleshoot.
Re: Diebold-Yilmaz index
Sorry, I don't have all error messages. You have to careful to input data and choose the parameter options.
Who is online
Users browsing this forum: No registered users and 21 guests