Dear Sir
I am estimationg generalized impulse response function(Pesaran and Shin, 1998).
But I'm quite confused because the estimated results are differ from EViews.
I am attaching the code and data.
I would really apprecite your help.
Regards
Question on Generalized impulse response function
Question on Generalized impulse response function
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- example.RPF
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- example.prg
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- example.WF1
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- house.dat
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Re: Question on Generalized impulse response function
Note that the RATS output is blocked by shocks and the EViews output is blocked by target variable. Once you allow for that, there appears to just be a difference in scaling of the covariance matrix. You'll have to check the EViews documentation to see how they are doing that.
Re: Question on Generalized impulse response function
TomDoan wrote:Note that the RATS output is blocked by shocks and the EViews output is blocked by target variable. Once you allow for that, there appears to just be a difference in scaling of the covariance matrix. You'll have to check the EViews documentation to see how they are doing that.
Dear Tom.
Thank you for your reply.
I find that the different results are "d.f. adjustment" issue.
Sincerely.