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#EVIEWS 10 VS EVIEWS 9.5 CODE#
101-115.ġ Please refer to Kilian and Kim (2009) for a criticism of this approach.Ģ Special thanks to Eviews Rebecca for testing the code and comparing the output to that of original GAUSS source code. “Vector Autoregressions,” Journal of Economic Perspectives, v. (2013) “Comparison of Methods for Constructing Bands for Impulse Response Functions,” SFB649 Discussion Paper 2013-31, Humboldt University of Berlin.
#EVIEWS 10 VS EVIEWS 9.5 SERIES#
“Do Local Projections Solve the Bias Problem in Impulse Response Inference?”, CEPR Discussion Paper Series 7266. “Simultaneous Confidence Regions for Impulse Responses,” Review of Economics and Statistics, v. “Estimation and Inference of Impulse Responses by Local Projections,” American Economic Review, v. These particular data are used for demonstrating the use of the add-in as well. Jordà (2009) uses the three-variable monetary VAR model of Stock and Watson (2001), where the inflation, unemployment, and federal funds rate variables used in that study are extended to cover the 1960q1-2007q1 period. Note that although the local projection methodology does not depend on the previous estimation of a VAR, the localirfs add-in must be used on an existing EViews VAR object. For details, please see the information in the documentation that comes with the add-in 2.
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In that respect, it is similar to the “hdecomp” or “svarpatterns” add-ins. The add-in is designed as a complementary tool for the existing VAR object and can also be run from the command line. The EViews add-in “localirfs” implements the methodology outlined in Jordà (2009). In this framework, it becomes straightforward to impose restrictions on impulse response trajectories and formally test their significance. In addition to marginal error bands, Jordà (2009) introduced two new sets of bands to represent uncertainty about the shape of the impulse response and to examine the individual significance of coefficients in a given trajectory. The usual presentation of IRFs is through visualizing the dynamic propagation mechanism accompanied by error bands.