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Generalised Impulse Response Functions and Variance Decomp
Posted: Mon Oct 17, 2011 7:46 am
by jamest
Page II:470 of the user guide: "Note that since non-orthoganal factorization will yield decompositions that do not satisfy an adding up property, your choice of factorization is limited to the Cholesky orthogonal factorizations."
I don't really follow this.
If we are willing put up with the row sum of the elements of the variance decomposition matrix not summing to unity, then can we not use something other than Cholesky?
Basically I want to use the generalised impulses of Pesaran Shin to calculate the variance decomposition. Is this possible?
Thanks
Re: Generalised Impulse Response Functions and Variance Deco
Posted: Mon Oct 17, 2011 7:53 am
by EViews Gareth
No.
Re: Generalised Impulse Response Functions and Variance Deco
Posted: Mon Oct 17, 2011 8:20 am
by jamest
I am none the wiser.
I am trying to do something based on this (pages 3 and 4). Is their expression (1) not a calculation of a variance decomposition based on the generalised impulses of Pesaran Shin?
http://www.ssc.upenn.edu/~fdiebold/pape ... _Mar10.pdf
Re: Generalised Impulse Response Functions and Variance Deco
Posted: Mon Oct 17, 2011 8:28 am
by EViews Gareth
It is not built into EViews.
Re: Generalised Impulse Response Functions and Variance Deco
Posted: Mon Oct 17, 2011 8:55 am
by jamest
And it's not possible to recover the necessary objects to construct it with a programme either?
Re: Generalised Impulse Response Functions and Variance Deco
Posted: Mon Oct 17, 2011 9:04 am
by EViews Gareth
I don't know enough about the specifics to judge, but I'd guess not.
Re: Generalised Impulse Response Functions and Variance Deco
Posted: Sun Nov 20, 2011 5:41 am
by ppp007
Hi jamest,
I`m also trying to replicate Diebold paper, for a new set of time series. Did you find another way to run this?
Tks,
Paulo
Re: Generalised Impulse Response Functions and Variance Deco
Posted: Fri Dec 16, 2011 6:22 am
by jamest
Hi,
Only just seen this. I didn't make any further attempts but I may return to it in the New Year. How have you got on?
James
Re: Generalised Impulse Response Functions and Variance Deco
Posted: Wed Jan 04, 2012 6:49 pm
by ppp007
I will try to run N! ordering or, maybe, try running this on RATS.
I should check before which one is the less time demand.
Re: Generalised Impulse Response Functions and Variance Deco
Posted: Fri May 24, 2013 3:12 am
by nicktz
Hi guys,
any of you any wiser on the technique by now? Help would be much appreciated!! N