@TVARSET

[victor]

Hello,

I want to run time varying VAR then do IRF, Variance Decomposition. So I run following code for my data but got no output

Code: Select all

clear
open data UsableCAD.xls
calendar(m) 2002:04
data(format=xls,org=obs) 2002:04 2011:03
table
*
*UNTO   GSPTTRE    TBILL3   TBOND  SPREAD  CPI US  EURO  TSX  GDP
*
*
*
set RE = log(GSPTTRE/GSPTTRE{1})
set RSPREAD = ((SPREAD) - (SPREAD{1}))/(SPREAD{1})
set RCPI = log(CPI/CPI{1})
set RCAD_US = log(US/US{1})
set RTSX = log(TSX/TSX{1})
set RGDP = log(GDP/GDP{1})
*
*
linreg RE / RRE
# Constant RTSX

@TVARSET(LAGS =1, SEFACTOR = 0.9, TIGHT= 0.2)
#RRE RCAD_US RCPI RSPREAD RGDP

[moderator]

TVARSET doesn't produce any output--it just sets up the model. You would need to follow up the procedure call with the desired estimation routine (for example, a loop over KALMAN commands), and then whatever additional analysis (computing IRFS, etc.) you wish to do.

Regards,
Tom Maycock
Eestima