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VAR stability
Posted: Fri Apr 01, 2016 2:57 am
by samewing7
Hello,
I am currently constructing a unrestriced VAR with 4 variables. As I want to use impulse response functions I want to test for stability in the system. Is it possible to find the eigenvalues of the "companion matrix" of the system using eviews?
Regards,
Sam
Re: VAR stability
Posted: Fri Apr 01, 2016 8:02 am
by EViews Gareth
varname.@companion returns the companion matrix of the VAR. You can then find the eigenvalues with the @eigenvalues function.
Re: VAR stability
Posted: Fri Apr 01, 2016 9:18 am
by samewing7
varname.@companion returns the companion matrix of the VAR. You can then find the eigenvalues with the @eigenvalues function.
thank you for this. i have input the command, however, when I enter the command I am met with the message "@COMPANION is not a member or procedure of NOPI1" what would you suggest I do from here?
Re: VAR stability
Posted: Fri Apr 01, 2016 9:27 am
by EViews Gareth
It is only available in EViews 9.5 and above.
Re: VAR stability
Posted: Fri Apr 01, 2016 9:39 am
by samewing7
I have the student lite version, does it not work on that?
Re: VAR stability
Posted: Fri Apr 01, 2016 9:40 am
by samewing7
It is only available in EViews 9.5 and above.
Re: VAR stability
Posted: Fri Apr 01, 2016 10:52 am
by EViews Gareth
It works on EViews 9.5 Student Version Lite...
Re: VAR stability
Posted: Tue Apr 05, 2016 2:43 am
by samewing7
It works on EViews 9.5 Student Version Lite...
Hi Gareth,
Sorry to be a pain again. I have entered the command as you instructed, however, I am now met with the error message "Index missing in OI1.@companion"". What does this mean? Is it possible to rectify.
Thank you for your on going help.
Re: VAR stability
Posted: Tue Apr 12, 2016 12:11 am
by EViews Glenn
matrix a = OI1.@companion