Re: R: Query about FEVDs for BVAR
by GIULIA CHIARA
Thank you for your quick response.
If you could, at some point, when it's convenient for you, provide me with an example, it would be extremely helpful since I'm not very familiar with coding.
Thank you in advance for your help. I wish you a good day.
Sincerely,
Giulia Chiara
> On 31 Jul 2025, at 12:08 pm, Luca Pedini <luca_pedini(a)live.it> wrote:
>
>
> Dear Giulia,
> If you are using the BVAR package, unfortunately the FEVD functionality is not available yet. It will be included in a future update, but at the moment there is no function for computing or plotting FEVD within the package.
> As a temporary solution, you could use the BVAR package to save the parameter draws and then compute the FEVD manually—or alternatively, compute it using the posterior medians.
> Unfortunately, I’m away for a couple of days, but as soon as I’m back I’ll be happy to provide you with an example of how to do this.
> Best regards,
> Luca Pedini
>
> Da: GIULIA CHIARA <g.chiara1(a)studenti.unibg.it>
> Data: mercoledì, 30 luglio 2025 alle ore 11:23
> A: gretl-users-owner(a)gretlml.univpm.it <gretl-users-owner(a)gretlml.univpm.it>, gretl-users(a)gretlml.univpm.it <gretl-users(a)gretlml.univpm.it>
> Oggetto: [Gretl-users] Query about FEVDs for BVAR
>
> Dear Gretl community,
>
> Good morning,
>
> I hope this email finds you well.
>
> I'm currently working with a BVAR model in Gretl and I'm trying to obtain the Forecast Error Variance Decompositions (FEVDs). I was wondering if it's possible to generate these in Gretl, and if so, what the correct method or code string would be.
>
> I've attempted to use BVAR_fevd_plot(res, var) (where var is my variable of interest), but I keep encountering a "parsing error."
>
> Any guidance or examples of the correct syntax would be greatly appreciated.
>
> Thank you for your time and assistance.
>
> Sincerely,
>
> Giulia Chiara
>
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1 month, 3 weeks
Query about FEVDs for BVAR
by GIULIA CHIARA
Dear Gretl community,
Good morning,
I hope this email finds you well.
I'm currently working with a BVAR model in Gretl and I'm trying to obtain
the Forecast Error Variance Decompositions (FEVDs). I was wondering if it's
possible to generate these in Gretl, and if so, what the correct method or
code string would be.
I've attempted to use BVAR_fevd_plot(res, var) (where var is my variable of
interest), but I keep encountering a "parsing error."
Any guidance or examples of the correct syntax would be greatly appreciated.
Thank you for your time and assistance.
Sincerely,
Giulia Chiara
1 month, 3 weeks
(no subject)
by Brian Revell
Is there any reason why recursive forecasts cannot be generated and
included in the ARIMA option for univariate modelling forecasts (together
with their confidence intervals ) when no exogenous variables have been
included in the specification Clearly post sample data the MA terms would
drop out.
Brian
1 month, 4 weeks
Cragg - Donald statistic in loop
by Andreas Zervas
Hi all,
I was running IV regressions in a loop using gretl 2024d in windows 10, and saw that while it calculates first stage F, it does not do the same with Cragg - Donald statistic. Is there a reason for it?
How can we calculate it the Cragg - Donald with e.g. matrices? Is there a simple formula to do it?
Best,
Andreas
2 months, 2 weeks
Package updates (June 2025)
by Riccardo (Jack) Lucchetti
Dear all,
this message is to inform the community about the activity in our
function package repository: during the month of June 2025,
one packages was updated to a new version:
"BEKK", by yours truly (Multivariate GARCH)
The package itself has changed only marginally: the main difference is
that we now have much nicer documentation as a pdf file.
Download and enjoy!
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
2 months, 2 weeks
issues compacting frequency from hourly to daily
by Sven Schreiber
Hi,
I have an hourly dataset which I want to transform (compact) to daily
data. I'm going to describe some problems, first using the GUI, then
with a concrete script example (but different problems).
GUI:
I applied the dataset structure wizard from Data / Reduce frequency with
what seemed to be a success at first, by choosing "to 7-day daily" and
averaging as the compaction method. However, it then turned out that the
data compaction didn't seem to be correct. Notice that the dataset
starts not at midnight, but in the middle of the first day, so during
the first day there are less than 24 obs; maybe that matters.
Specifically, I created a "check" series that only holds 1 during the
hours of the first day. I would expect that that first day in the daily
data then gets a 1, but instead it got a 0. There also seemed to be
other artefacts afterwards.
Script example:
<hansl>
nulldata 100
setobs 24 10:4 --time-series # hourly, starts at day 10, hour 4
series day = $obsmajor
series hour = $obsminor
series check = day==10 ? 1 : 0 # is 1 for less than 24 hours
dataset compact 7 # error, not supported
</hansl>
First, it's funny that the compaction "worked" in the GUI, but the
script reaction is that it's not supported. But maybe the latter is more
appropriate, given my problems before. Next, if instead of "dataset
compact 7" I use "dataset compact 1", there's no error, but gretl now
thinks it's an annual dataset, but my "check" variable still doesn't get
the 1 value for the first compacted obs.
thanks
sven
2 months, 2 weeks
papers from the 2025 gretl conference
by Cottrell, Allin
This message is intended for those who presented papers at GC2025 and
wish to submit them for consideration for the follow-up special issue
of Computational Statistics. Unfortunately we don't have a list of
emails for presenters but I'm hoping this may catch most of you. If
you have a colleague who gave a paper but is not on this list, please
pass on the following:
A document giving instructions and a timetable is available at
https://gretl.sourceforge.net/SI.pdf . In addition here's a direct
link to the journal's site:
https://link.springer.com/collections/djaggbgfhf
Allin Cottrell
2 months, 3 weeks
