Search found 9 matches
- Tue Feb 27, 2018 1:47 am
- Forum: Data: Reading, Writing, Transforming
- Topic: How to write BETASYS coefficients into excel?
- Replies: 1
- Views: 6012
How to write BETASYS coefficients into excel?
I have run a Markov Switching System with 3 endogenous variables and I get the output like this Variable Coeff Std Error T-Stat Signif ************************************************************************************ 1. BETASYS(1)(1,1) 2.99387272 0.68519822 4.36935 0.00001246 2. BETASYS(1)(2,1) 0...
- Sun May 28, 2017 8:12 am
- Forum: Examples and Sample Code
- Topic: Hansen(1999) Threshold Estimation in Panel Data
- Replies: 15
- Views: 43351
Re: Hansen(1999) Threshold Estimation in Panel Data
Would it be an issue if the threshold variable is not country specific but a common variable to all country? (e.g. world commodity price )
- Sat May 27, 2017 10:01 am
- Forum: Examples and Sample Code
- Topic: Balke(2000) Threshold VAR
- Replies: 98
- Views: 182710
Re: Balke(2000) Threshold VAR
Dear TomDoan I have a question. Let say I take V as my threshold variable, since its level has a unit root, I decide to take first difference of V, as denoted by DV. I then take the absolute value of DV and name it as AV. In this case, the threshold variable is in fact AV, but the variable that shou...
- Mon Apr 17, 2017 8:36 am
- Forum: Examples and Sample Code
- Topic: Balke(2000) Threshold VAR
- Replies: 98
- Views: 182710
Re: Balke(2000) Threshold VAR
Hi
Is there any reference on how to generate regime-specific IRF with RATS?
Is there any reference on how to generate regime-specific IRF with RATS?
- Mon Apr 17, 2017 2:28 am
- Forum: Examples and Sample Code
- Topic: Balke(2000) Threshold VAR
- Replies: 98
- Views: 182710
Re: Balke(2000) Threshold VAR
Is that possible to estimate a VAR with inclusion of exogenous variable and let this variable be the threshold indicator?
e.g.
e.g.
Code: Select all
system(model=varmodel)
variables d1y d1p money
lags 1 to maxlag
det constant credit
end(system)- Wed Apr 12, 2017 5:54 am
- Forum: VARs (Vector Autoregression Models)
- Topic: Global VAR with Regime-Switching VARs as local models
- Replies: 7
- Views: 12833
Re: Global VAR with Regime-Switching VARs as local models
The one major drawback with your proposal is that you can't do IRF's in a threshold model one regime at a time---the regime switch is an integral part of the dynamics. What you mean is the regime switch itself is endogenous that is why it can't be achieved? But we can still get IRs conditional on r...
- Mon Apr 10, 2017 11:03 pm
- Forum: VARs (Vector Autoregression Models)
- Topic: Global VAR with Regime-Switching VARs as local models
- Replies: 7
- Views: 12833
Re: Global VAR with Regime-Switching VARs as local models
Dear TomDoan, Thanks for your advice. I am aware that the paper I cite is MS model, since I couldn't find GVAR paper that incorporate other types of regime-switching model. But I actually prefer TVAR due to its simplicity in inferring regime using a particular variable. I should definitely check if ...
- Mon Apr 10, 2017 1:45 pm
- Forum: VARs (Vector Autoregression Models)
- Topic: Global VAR with Regime-Switching VARs as local models
- Replies: 7
- Views: 12833
Re: Global VAR with Regime-Switching VARs as local models
Dear TomDoan, Thank you so much for your reply. I have seen the other posts in which you provided the replication codes for TVAR and GVAR. I wonder if it is possible to estimate each country's TVAR (with inclusion of X*, the trade weighted country-specific variables) following your codes, and then c...
- Mon Apr 10, 2017 1:03 am
- Forum: VARs (Vector Autoregression Models)
- Topic: Global VAR with Regime-Switching VARs as local models
- Replies: 7
- Views: 12833
Global VAR with Regime-Switching VARs as local models
Hi I am currently trying to study the method of GVAR and regime switching models. My main research interest is to study the regime-dependent inter-linkages between international capital flows and domestic financial variables in a global setting. Based on my understanding, GVAR is implemented by esti...