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Opening text files from Google Drive
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Pausing a program
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syntax cloroing
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Time varying SVAR
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Misleading calculations of Endogeneous variables in system
Follow up:
(1) I can confirm that the model in my workfile was corrupted (unknown reason but I have been working with the file for a while and copied models on and on).
Setting up a new model and solving gave the expected results (as stated by Gareth).
(2) However, this did ONLY work for models which contain seperate equations. It did NOT work if the equations were contained in a system (e.g. 3SLS). In order to get the desired result a had to copy the "substitued coefficients" into the model in its source text mode.
I hope, someone from EViews will read this and have a look into it.
And my advise would be to be very critical of the calculated results from models if there are stacked dependencies between equations. I have started to run each equation seperately on its own to get its "unconditional" result and put it next to the "conditional" (i.e. depending) result from the model. If the model gives the correct dependent estimates than both are different if not they "fall together" - and a workaround is needed.
(1) I can confirm that the model in my workfile was corrupted (unknown reason but I have been working with the file for a while and copied models on and on).
Setting up a new model and solving gave the expected results (as stated by Gareth).
(2) However, this did ONLY work for models which contain seperate equations. It did NOT work if the equations were contained in a system (e.g. 3SLS). In order to get the desired result a had to copy the "substitued coefficients" into the model in its source text mode.
I hope, someone from EViews will read this and have a look into it.
And my advise would be to be very critical of the calculated results from models if there are stacked dependencies between equations. I have started to run each equation seperately on its own to get its "unconditional" result and put it next to the "conditional" (i.e. depending) result from the model. If the model gives the correct dependent estimates than both are different if not they "fall together" - and a workaround is needed.
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Misleading calculations of Endogeneous variables in system
Nope.
In this example the solved value of Y should be C(1), which is a constant. The actual value of Y is a random number. The solved for value of X is C(2)+C(3)*Y(1). If the model value of X depends on actual Y, the solved for value of X will be random. If X depends on solved for Y, the solved for value of X will be a constant.
Code:
wfcreate m 1990 2000
series y=nrnd
series x=2+y(1)
series z1=nrnd
series z2=nrnd
series z3=nrnd
system s
s.append y=c(1)
s.append x=c(2)+c(3)*y(1)
s.append @inst z1 z2 z3
s.3sls
model m
m.append :s
m.solve
show x_0 y_0 x y
show s
In this example the solved value of Y should be C(1), which is a constant. The actual value of Y is a random number. The solved for value of X is C(2)+C(3)*Y(1). If the model value of X depends on actual Y, the solved for value of X will be random. If X depends on solved for Y, the solved for value of X will be a constant.
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impulse response functions interpretation
dakila wrote:Hi Justin,
I understood that you are trying to explain the return(R_t) not the price (p_t).
You can manually multiply 0.02 by 100.
But more convenient way to do this is to define R_t = (ln(p_t)-ln(p_{t-1}))*100 before the estimation of VAR model .
Interpretation: a one unit sd shock leads to a 100 * 0.02 = 2 percentage point in the return (not the price).
If you are trying to explain the price then this interpretation is totally wrong.
Thank you Dakila. I get what you mean now. One last question: is it common (or a sign of a problem) to have responses of one variable larger than the shocks to another (not the same) variable?
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Automatically setting the sample of a linked graph
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CGARCH mean equation
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GARCH estimation returns 'NA'
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Opening text files from Google Drive
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impulse response functions interpretation
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Return .prg Filename
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Return .prg Filename
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Return .prg Filename
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Time varying SVAR
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Return .prg Filename
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Return .prg Filename
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Return .prg Filename
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Time varying SVAR
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