Auto-series in BVAR modelling
Posted: Mon Aug 05, 2019 2:24 am
Hello,
I notice that we cannot use auto-series (e.g. log(x/y) if x and y are series) in BVARs, as I get this error when trying to simulate the IRFs.
Is there something fundamental that Eviews cannot handle about auto-series in the estimation of BVARs? Since if I estimate the BVAR using the auto-series and then the same BVAR method to estimate one with the equivalent series without auto-series (e.g x_l = log(x)), the coefficient/std error estimates are different in the two models?
(This is true in both EV9.5 and EV11).
Thanks.
I notice that we cannot use auto-series (e.g. log(x/y) if x and y are series) in BVARs, as I get this error when trying to simulate the IRFs.
Is there something fundamental that Eviews cannot handle about auto-series in the estimation of BVARs? Since if I estimate the BVAR using the auto-series and then the same BVAR method to estimate one with the equivalent series without auto-series (e.g x_l = log(x)), the coefficient/std error estimates are different in the two models?
(This is true in both EV9.5 and EV11).
Thanks.