Hi, Dakila
when use i your example data to try the add-in, I meet error message " syntax error" .
and the result show in the picture
you say"The resulting output will be three graph objects that contains 3x3 charts similar to those produced by EViews’ VAR object", so are the resulting output is in "globalteffect"? but it does not draw like what you show in your blog:Panel Structural VARs and the PSVAR add-in
and I can't get “composite” “common” “Idiosyncratic” respectively.
Panel SVAR
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Re: Panel SVAR
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Re: Panel SVAR
Hi,
I am currently working on a study using EViews for Estimating PSVAR for a panel of 5 countries using 6 Variables- Inflation, RER, RGDP, MPI, Income Inequality and Consumption Inequality. I use quarterly data. When I try to run the PSVAR add-in using all the six variables, it shows me an error 29 in encrypted program. I gather from the forum discussion that this error appears when data is unbalanced. But my data is strongly balanced with 500 observations- 100 observations per country. If I drop inequality variables, then I get the output without any problem. I am quite in a fix as to what to do. Please let me know what can be done. I am running out of time and I really need some help with this issue as soon as possible. For your reference, I am attaching with this post the data set.
I am currently working on a study using EViews for Estimating PSVAR for a panel of 5 countries using 6 Variables- Inflation, RER, RGDP, MPI, Income Inequality and Consumption Inequality. I use quarterly data. When I try to run the PSVAR add-in using all the six variables, it shows me an error 29 in encrypted program. I gather from the forum discussion that this error appears when data is unbalanced. But my data is strongly balanced with 500 observations- 100 observations per country. If I drop inequality variables, then I get the output without any problem. I am quite in a fix as to what to do. Please let me know what can be done. I am running out of time and I really need some help with this issue as soon as possible. For your reference, I am attaching with this post the data set.
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Re: Panel SVAR
Hi,
I think that there is the multicollinearity problem. The correlation coefficient between incgini and consgii is 0.78.
I think that there is the multicollinearity problem. The correlation coefficient between incgini and consgii is 0.78.
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Re: Panel SVAR
Thank you for the response. I did notice that. If I drop one of inequality variables, and include just one inequality, its still showing the same error. What else can be the solution?
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Re: Panel SVAR
Hi all,
I am currently working on a state-dependent fiscal multiplier using forecast error to identify the fiscal policy shocks and the local projection method to estimate the impulse response of output to fiscal policy shocks. I will use annual data from 15 countries.
I wonder if you share me the codes to identify government spending shocks as forecast errors of government spending. Moreover the syntax of estimating IRF based on panel LPM.
Best
***[example] forecasts of government spending are taken from October publications of the IMF’s WEO. Then, the fiscal spending shocks are identified as the forecast errors of government spending. Thus,
FEi,t=gi,t(actual)-gi,t(forecast)
where gi,t= Gi,t/Yi,t is government spending as a share of GDP. The actual government spending comes from the October WEO of the following year. i-refers to country and t refers to time.
I am currently working on a state-dependent fiscal multiplier using forecast error to identify the fiscal policy shocks and the local projection method to estimate the impulse response of output to fiscal policy shocks. I will use annual data from 15 countries.
I wonder if you share me the codes to identify government spending shocks as forecast errors of government spending. Moreover the syntax of estimating IRF based on panel LPM.
Best
***[example] forecasts of government spending are taken from October publications of the IMF’s WEO. Then, the fiscal spending shocks are identified as the forecast errors of government spending. Thus,
FEi,t=gi,t(actual)-gi,t(forecast)
where gi,t= Gi,t/Yi,t is government spending as a share of GDP. The actual government spending comes from the October WEO of the following year. i-refers to country and t refers to time.
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Re: Panel SVAR
Hi Dakila,
how can I interact fiscal spending shocks with the state of the business cycle of an economy? I can run the recursive approach of SVAR model using the linear approach. I would like to know How to run non-linear approach?
how can I interact fiscal spending shocks with the state of the business cycle of an economy? I can run the recursive approach of SVAR model using the linear approach. I would like to know How to run non-linear approach?
Re: Panel SVAR
Hi all,
I have a question about the country specific impulse responses. PSVAR add-in is great, but it does not provide country specific impulse responses - idiosyncratic responses for individual countries.
PSVAR provides quantiles (aggregates) of the impulse responses. Apparently PSVAR ad-in estimates country specific responses, then calculates the needed quantile and then 'kills' the country specific responses and reports only quantiles of the shocks in the form of three different graphs (or matrixes if instructed to do so).
My question is how can I save the country specific impulse responses (before EViews deletes them)?
It is really sad that after estimating the country specific responses PSVAR add-in simply deletes them.
I have a question about the country specific impulse responses. PSVAR add-in is great, but it does not provide country specific impulse responses - idiosyncratic responses for individual countries.
PSVAR provides quantiles (aggregates) of the impulse responses. Apparently PSVAR ad-in estimates country specific responses, then calculates the needed quantile and then 'kills' the country specific responses and reports only quantiles of the shocks in the form of three different graphs (or matrixes if instructed to do so).
My question is how can I save the country specific impulse responses (before EViews deletes them)?
It is really sad that after estimating the country specific responses PSVAR add-in simply deletes them.
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