1. G

    Analytic confidence bands for generalized impulse response function

    Hi everyone, I would like to ask about the way asymptotic confidence bands for generalized impulse response functions (VAR) are calculated. On the paper by Warne (2008) available on the following link:, I found the formula at the...
  2. E

    Residual Modelling and Generating Scenarios for variables

    newbie here with a trivial question. i am trying to create scenarios on a set of macro variables. i started with creating a bayesian VAR model on insample data and created some forecasts. then took the residuals from the model and used copula to find the joint distribution from the marginal...
  3. S

    Parameter of dispersion to use

    Hello, I have a quick question, first here is an example: These are two paramaters, let's say genes A and B and their level of expression in 9 samples. A: 5 5 7 2 2 8 6 5 3 var= 4,44 B: 0 0 0 0 0 0 3 3 3 var= 2,25 Usually people in the field look for the highly variable genes...
  4. Meloyn

    Lag Lenght

    Hi guys. I am making research and I am faced with some problem. I have VAR model and try to conduct ADF test. I use Schwarz criteria for defining lag lenght but in Eviews I must put max lag lengh. If i don't touch automatical defined lag length in first differences i don't have signification...
  5. R

    Difference between a VAR and a VECM

    Hello, I am performing cointegration analysis using Eviews and the DOLS estimator in the cointegrating equation. After saving the residuals of this equation (they are stationary then the variables are cointegrated), I estimated the short run equation including the lagged error term, one lag...
  6. L

    Does all variabler in a VAR/VEC need to be normally distributed?

    Well? Does all variables in a VAR/VEC need to be normally distributed, or only the target variable? It is very hard to get all of them to meet criteria of normality without deleting too many outliers.
  7. L

    Can a cointegrated variable be exogenous in first difference in a VEC model?

    If I have a variable C that is cointegrated with both variables A and B separately, can I use it in first-differenced form as an exogenous variable in a VEC model involving A and B?
  8. E

    Threshold Autoregressive (TAR) Model with exogenous variables (TARX)

    Anyone have experience with these models? From what I remember about VAR is that adding exogenous variables to model a VARX is straightforward. Simply specify the VAR with the exogenous variables as independent variables and estimates are consistent. So is a TAR model the same? TAR...
  9. S

    changing frequency of data

    Is it acceptable in PhD thesis to use data that have been converted from low frequency (annually data) to higher frequency (quarterly data). I'm asking because I have only few observations (GDP growth for 12 years) and would like to convert then into quarterly data so that I can run my model and...
  10. M

    STATA returns R(603) - IRF cannot be opened- after running a SVAR

    Dear talkstats users, I am trying to create IRFs after running a VAR - SVAR. The code is the following: matrix A = (1,0,0,0\.,1,0,0\.,.,1,0\.,.,.,1) matrix B = (.,0,0,0\0,.,0,0\0,0,.,0\0,0,0,.) svar doilp dmsciw debitda dstkp, aeq(A) beq(B) vargranger matrix Aest = e(A) matrix Best =...
  11. T

    Time series Analysis

    I have 4 time series.One of them is stationary and rest of them are not.I need to find relation between them.I will use AIC to decide lag length.Should I use VAR or VECM to find relation between them? Will VAR or VECM give me relation in terms of equation which can be used for forecasting? Do I...
  12. C

    SVAR parameter standard errors

    Hi everyone, How to calculate the standard errors of SVAR parameters. I know how to estimate it for contemporaneous parameter. I want to know how about the others? Are SE for SVAR model going to be the same as these in VAR model (other parameters are the same in these two models)? Thanks
  13. Z

    Need help with VAR

    Hi, I am planning to run VAR to gather insight about the feasibility of inflation targeted monetary policy. I have been reading up on the three types of VAR and their usage, as I don't have prior academic knowledge. I have a few basic questions to start with: 1) If my variables in question...
  14. C

    Modeling ARCH effects in Vector Autoregression

    Hi all, I have constructed a VAR(p) model with 3 time series in Stata. When I predict the residuals and run an AR(p) model (with p=1, 2, 3, and 4) on the residuals, I get significant lag coefficients (i.e. ARCH effects). I learned that I could now model the residuals using those AR(p)...
  15. S

    Running a Long-Run Structural VAR (SVAR)

    Good day, I am trying to run a 9 variable structural var with long-run restrictions. I used economic theory to impose restrictions rather than the Cholesky decomposition. However I am really confused as to what Matrix 'C' is in the Stata Manual. It is said there that yt= Abar(inverse)...
  16. A

    VAR model definition

    Edit: Question Answered. Instead, could you please tell me how can I delete a topic once I post it, if that's possible. Cheers Greetings, I have a question regarding the definition of the VAR model. What follows is the basic theory behind it. Could you please explain to me what the...
  17. D

    Creating new variable from coefficients

    Hi I'm new to stata so just bear with me. I'm doing a VAR using inflation as my dependent variable and exchange rate as an independent variable (amongst others). I would like to create a new variable from the coefficient on "exchange rate" so that I can run a seperate regression with it...
  18. S

    VAR or VECM with I(1) and I(0) series

    Hello, I am trying to estimate macroeconomic data with VAR. I have a system of 5 equations. 3 of the series are I(1) while 2 are I(0). I have a few questions in estimation: i) can I estimate a VAR with first differences of the three integrated series, and levels of the other two which have no...
  19. R

    VECM help!

    Hey all, I have a problem concerning STATA'S VECM capabilities. I am trying to run a regression using vec and implement an irf from the model. However, after running a vec, irfs do not include confidence intervals. This is not unique to STATA but I can't figure out why the bootstrap method...