Trouble with Kilian(1998) and time TREND
Posted: Wed Jul 13, 2016 7:59 am
Hi,
I am currently working on a VAR with Kilian(1998) bias-correction on the IRF. The code seemed to work perfectly fine when I estimated the VAR with det CONSTANT. However, two of my variables present a linear time trend, so I constructed a "TREND = t" variable. But when using DET CONSTANT TREND, the following error appear:
## MAT2. Matrices with Dimensions 14 x 3 and 13 x 3 Involved in + Operation
The Error Occurred At Location 341, Line 33 of KILIANBOOTSETUP
I looked up the killianbootsetup and varbootsetup programs themselves, but could not figure out what is going on. I would extremely aprecciate some help on this issue.
Thank you very much!
Below is my code:
I am currently working on a VAR with Kilian(1998) bias-correction on the IRF. The code seemed to work perfectly fine when I estimated the VAR with det CONSTANT. However, two of my variables present a linear time trend, so I constructed a "TREND = t" variable. But when using DET CONSTANT TREND, the following error appear:
## MAT2. Matrices with Dimensions 14 x 3 and 13 x 3 Involved in + Operation
The Error Occurred At Location 341, Line 33 of KILIANBOOTSETUP
I looked up the killianbootsetup and varbootsetup programs themselves, but could not figure out what is going on. I would extremely aprecciate some help on this issue.
Thank you very much!
Below is my code:
Code: Select all
CALENDAR(Q) 1996:1
DATA(FORMAT=WF1) 1996:01 2015:04 C01 CONFIANCAS___NAO_USEI_ES EXPECT_INFL_ FBKF IBGE_DESSAZ_PIB ICC_FGV $
ICEA_FECOM ICI_FGV IEC_FECOM IPCA_INDICE IPCA_INDICE_SA IPCA_QOQ__A_ IPCA_QOQ_SA IPCA_QOQ_SA_ANN JURO_REAL $
MEDIA_SELIC RESID
set TREND = t
set L_CONS = log(C01)
set L_PIB = log(IBGE_DESSAZ_PIB)
set L_IEC = log(IEC_FECOM)
SYSTEM(Model=VAR_TRIVARIADO)
VARIABLES L_IEC L_CONS L_PIB
LAGS 1 TO 4
DET Constant TREND
END(SYSTEM)
ESTIMATE(outsigma=varcov)
eigen(cvalues=cv) %modelcompanion(VAR_TRIVARIADO)
disp %cabs(cv(1))
compute nsteps=40
compute ndraws=1000
compute nshocks=1
estimate(resids=resids)
compute nvar=%nvar
compute rstart=%regstart(),rend=%regend()
@KilianBootSetup(model=VAR_TRIVARIADO,resids=resids) rstart rend
declare vect[rect] %%responses(ndraws)
*
infobox(action=define,lower=1,upper=ndraws,progress) $
"Second stage bootstrap"
do draw=1,ndraws
@KilianBootDraw(resids=resids) rstart rend
impulse(model=%%VARReModel,shocks=%unitv(nvar,1),steps=nsteps,factor=varcov*inv(%diag(%sqrt(%xdiag(varcov)))),$
flatten=%%responses(draw),noprint)
/* impulse(model=%%VARReModel,shocks=%unitv(nvar,1),steps=nsteps,$
flatten=%%responses(draw),noprint)*/
infobox(current=draw)
end do draw
infobox(action=remove)
*
@MCProcessIRF(percentiles=||.05,.95||,lower=klower,upper=kupper,$
irf=kmedian,model=%%VARReModel)
*
spgraph(hfields=3,footer="Bootstrapped Responses to unit shock in IEC")
graph(number=0,header="CONSUMO") 3
# kmedian(2,1)
# klower(2,1) / 2
# kupper(2,1) / 2
graph(number=0,header="PIB") 3
# kmedian(3,1)
# klower(3,1) / 2
# kupper(3,1) / 2
graph(number=0,header="IEC") 3
# kmedian(1,1)
# klower(1,1) / 2
# kupper(1,1) / 2
spgraph(done)