Search found 3 matches
- Mon Sep 07, 2015 8:10 pm
- Forum: Other Time Series Analysis
- Topic: VAR with time-varying parameters and stochastic volatility
- Replies: 51
- Views: 192900
Re: VAR with time-varying parameters and stochastic volatili
Dear estima team, I follow Primiceri(2005) and want to get the impulse response across time (point estimate) for simultaneous response, response after 10 quaters,.. like Primiceri did. As now in the code, I only get the impulse response for specific time like 1975:1, 1981:3,... Can you help me with ...
- Mon Aug 17, 2015 12:13 am
- Forum: Examples and Sample Code
- Topic: Helping with code of Primiceri (2005)
- Replies: 14
- Views: 23562
Re: Helping with code of Primiceri (2005)
Dear Tom
Yes, it works!!! Finally it worked with your help.
Thank you so much, Tom. I wish you and your colleagues all the bests.
Best regard,
Yes, it works!!! Finally it worked with your help.
Thank you so much, Tom. I wish you and your colleagues all the bests.
Best regard,
- Wed Aug 12, 2015 10:31 pm
- Forum: Examples and Sample Code
- Topic: Helping with code of Primiceri (2005)
- Replies: 14
- Views: 23562
Helping with code of Primiceri (2005)
Hello! I'm trying to use the TVP-VAR with Stochastic Volatility used in Primiceri (2005). I changed everything I thought I should (and I could) but after running to the @VARTVPKSC it said that there were not enough data in the training sample to fit prior. Where should I change the setting? I attach...