Diebold-Yilmaz index
Moderators: EViews Gareth, EViews Moderator, EViews Esther
Re: Diebold-Yilmaz index
What is your eviews version?
Re: Diebold-Yilmaz index
Yes, you are right. It does not work for the version 11. I will fix it soon. But it can work for the version 10 if you have access to it.
Re: Diebold-Yilmaz index
I have also Ev 10+ and the same error appears.
Re: Diebold-Yilmaz index
The bug is fixed. Please update the add-in. I hope the moderator will post it soon. But carefully choose the rolling window parameter. It should not exceed the sample size.
Re: Diebold-Yilmaz index
Thank you very much. As soon as the new version of the code is online I will try to run the code following your instructions.
Re: Diebold-Yilmaz index
Dear Dakila,
I have tried the updated version. Now it works fine. Thank you very much.
I have tried the updated version. Now it works fine. Thank you very much.
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Re: Diebold-Yilmaz index
dakila wrote: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.
I am new to this method can anybody help me by telling steps to calculate dyindex?
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Re: Diebold-Yilmaz index
Helloe everybody
I have calculated spillover index using this add-ins but one thing i am still unable to get is net pairwise connectedness.Can anybody help on this?
I have calculated spillover index using this add-ins but one thing i am still unable to get is net pairwise connectedness.Can anybody help on this?
Re: Diebold-Yilmaz index
When estimate the DY index just tick the save pairwise spillovers. After that do it manually get the net pairwise connectedness.
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Re: Diebold-Yilmaz index
Hi, i have applied Diebold model in Eview9 to check return spillover among five return series ( daily data, around 3000 observation). I have some queries
1. Endogenous variable should be stationary?
2. On the basis of lag length criteria, appropriate lag is 1 (SC) and 4( AIC, HQ). When in run Diebold model with 4 lag then an error message comes "Near singular matrix'. No such error msg come when i run this model with 1 lag. Should i use lag order 1?
3. After running this Diebold model on return series with lag order 1, spilloverindex file and each PS_ _ file does not show any value. 'NA" only. I don't know why.
4. Last question, if I want to check volatility spillover instead of return spillover then what should be endogenous variable.
Thank You
1. Endogenous variable should be stationary?
2. On the basis of lag length criteria, appropriate lag is 1 (SC) and 4( AIC, HQ). When in run Diebold model with 4 lag then an error message comes "Near singular matrix'. No such error msg come when i run this model with 1 lag. Should i use lag order 1?
3. After running this Diebold model on return series with lag order 1, spilloverindex file and each PS_ _ file does not show any value. 'NA" only. I don't know why.
4. Last question, if I want to check volatility spillover instead of return spillover then what should be endogenous variable.
Thank You
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- Posts: 2
- Joined: Fri Jul 19, 2019 3:44 am
Re: Diebold-Yilmaz index
harpreet_kaur wrote:Hi, i have applied Diebold model in Eview9 to check return spillover among five return series ( daily data, around 3000 observation). I have some queries
1. Endogenous variable should be stationary?
2. On the basis of lag length criteria, appropriate lag is 1 (SC) and 4( AIC, HQ). When in run Diebold model with 4 lag then an error message comes "Near singular matrix'. No such error msg come when i run this model with 1 lag. Should i use lag order 1?
3. After running this Diebold model on return series with lag order 1, spilloverindex file and each PS_ _ file does not show any value. 'NA" only. I don't know why.
4. Last question, if I want to check volatility spillover instead of return spillover then what should be endogenous variable.
Thank You
Can anybody please help. I am facing above problems while running dyindex
Re: Diebold-Yilmaz index
does this add-in option also estimates the spillovers of diebold and yilmaz (2014) ?
Re: Diebold-Yilmaz index
dakila wrote: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.
Yes, I read it. My mistake there, I do not run the add-in from the VAR. I open the Add-in from the Add-ins menu. But I figured out what I was doing wrong. Thank you for your response.
Re: Diebold-Yilmaz index
dakila wrote: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.
Thank you for the add-in. I get into trouble when i try to run this function. i don't konw how to fill the option "Svector of variables" when i'm doing generalized. I find that i can get the results with this option in blank, but i don't know how does this option work. Our results will be affected by this option?
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