FAVAR MODEL ESTIMATION

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

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MINA84
Posts: 1
Joined: Tue Sep 02, 2014 4:04 am

FAVAR MODEL ESTIMATION

Postby MINA84 » Tue Sep 02, 2014 4:17 am

Does anyone know to estimate a Factor augmented VAR model in Eviews?

Best regards,
Amina
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CharlieEVIEWS
Posts: 202
Joined: Tue Jul 17, 2012 9:47 am

Re: FAVAR MODEL ESTIMATION

Postby CharlieEVIEWS » Fri Sep 05, 2014 5:28 pm

For the two-step variety, you'll have to do a bit of light programming (examples here http://forums.eviews.com/viewtopic.php?f=15&t=8744) to extract factors as per Stock and Watson (2002) (or otherwise), and then use your estimated factors in the second stage in a standard VAR model through the menus, or something like var favar.ls 1 2 x y z factor1 factor2 factor3 where x y z are your observed variables, and factor1/2/3 are your I(0) factors.

Any questions, please don't hesitate to ask.

Charlie
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