Re: [Gretl-users] FEVD SVAR
On Sat, 4 May 2013, Gabriela Nodari wrote:
Thank you for your answer Allin. I know that the exposition form is
different. But I get different numbers as well.. the same shock explains
different shares. I don't know why is this so..
Well, can you give us an example where you're seeing different
results? In the example Jack gave I'm seeing exactly the same output
(script and GUI), aside from the mode of presentation.
(If you change the Cholesky ordering via the GUI then of course
you'll get different results.)
Allin
On 04/05/2013 2:13 PM, "Allin Cottrell"
<cottrell(a)wfu.edu> wrote:
> On Sat, 4 May 2013, Gabriela Nodari wrote:
>
>> In this way they are the same.. that is a bad news for me! So via gui
> the
>> fevd is not right?
>
> The _presentation_ of the FEVD is different in the GUI, in three
> ways:
>
> 1) for a VAR with p variables, the results are divided into p
> blocks, as opposed to one big matrix.
>
> 2) the forecast standard errors for each variable are shown in the
> first column of each block (these are not present in $fevd); and
>
> 3) the shares attributable to each variable are given as percentages
> rather than as decimal fractions.
>
> But a quick check, running the VAR below via the GUI, shows that the
> underlying FEVD values are the same as those in the $fevd matrix.