GVAR Activity
The GVAR Toolbox 1.1 is designed for the purpose of GVAR modelling.
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Activity for GVAR
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Javier Emmanuel posted a comment on discussion General Discussion
You should defined each global variable to be domestic in ONE individual model if you are not considering a Dominant Unit model.
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Rachel Chen posted a comment on discussion General Discussion
Hi shiyu, I met the same Warning: Make sure you have defined each global variable to be domestic in ONE individual model. And I went through user guide pretty carefully. Did you solve this? and how? Thanks!
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Fatemeh Hajitabar posted a comment on discussion General Discussion
In the process of using the GVAR Toolbox for my thesis, I faced a problem concerning pause messages: impose trend restrictions for the trend/cycle decomposition. Regarding that, I don’t know how to set variables for the trend/cycle decomposition setting. Would you please guide me how to select variables and on what basis?
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Seunhui Choi posted a comment on discussion General Discussion
Thank you for your helping! The problem was solved. My wmat1 (I set fixed, user-defined weight for foreign variables) has a problem. After I changed wmat1 (also the sum of each columns are 1), I finally got the result! I really appreciate your help. Would be helpful to someone who struggles with the same problem... Best, SH
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Thank you for your helping! The problem was solved. My wmat1 (I set fixed, user-defined weight for foreign variables) has a problem. After I changed wmat1 (also the sum of each columns are 1), I finally got the result! I really appreciate your help. Would be helpful to someone who struggles with the same problem... Best, SH
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GVAR posted a comment on discussion General Discussion
Hello, looks like you have not addressed the problem with your data adequately. When you say you have replaced the zeros with 123456789 this has to be done for the entire column for which you encounter missing values. If you have done this then, there is still a data problem somewhere. On Fri, 24 Feb 2023, 03:26 Seunhui Choi, shchoi@users.sourceforge.net wrote: Hello, I tried to bootstrap GVAR using your program. But I failed to see the results of GIRFs since an error arose shown below: The rank...
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Hello, I tried to bootstrap GVAR using your program. But I failed to see the results of GIRFs since an error arose shown below: The rank error. I double checked whether the matrices are filled properly, I also filled the column of all 0 values with 123456789. When I checked the IRF result, it diverges. Any solution? Thank you. Best, SH
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Hello, I tried to bootstrap GVAR using your program. But I failed to see the results of GIRFs since an error arose shown below: The rank error. I double checked whether the matrices are filled properly, I also filled the column of all 0 values with 123456789. Any solution? Thank you. Best, SH
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Halil Ibrahim Gunduz posted a comment on discussion General Discussion
Solved!!! If you remove pack like I did above, problem is solved: Matlab explains ''On a 64-bit system, you do not need to use pack''
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When I did Dynamic Analysis, I got this error: y Error using pack pack has been removed. From matlab 2022: ''pack has been removed. There is no replacement for this function. For more information, see Compatibility Considerations.''
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Aniello Ferraro posted a comment on discussion General Discussion
Dears, I have a problem in step 5. Once I have set the various settings I get this error message: How could I solve? 5) IMPULSE RESPONSE ANALYSIS 5.1) Settings, shock selection and (optional) region definition for regional GIRFs and GFEVDs 5.2) Computing the covariance matrix Warning: The covariance matrix is not positive definite. Pause and go to gvar1.xls: Ensure that perform shrinkage on the correlation matrix for generating the bootstrap data is set to 1 (if it is not already), then press enter....
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I solved the problem. In the contiguity matrix that I loaded there were some regions without neighbors (it was a queen matrix, so for the islands there was the value 0 for all the countries) eliminating those units the problem was solved. I hope it will be of help to someone
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Thank you very much for the reply. I double-checked the guide and the data entered in the excel gvar.xls file, but there must be something I'm missing. In my file I have 20 countries (not grouped by regions), 5 country-specific variables, 1 global variables, and I manually entered my weight matrix. The problem arises in phase 3.1) of the Model specification, whether the dominant unit model is enabled or not. If I do not enable the dominant unit model, as required by the program, I insert the global...
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Such error messages that contain NaN typically imply that something is wrong with your data. Check all inputted data and make sure that the data varies across the different time periods for each variable. Also ensure that the missing value code "123456789" is used properly in line with the gar help book guidelines. Finally make sure you have a decent number of observations and you are not running the model for example for 30 annual data points for each series. On Mon, 19 Sep 2022, 11:49 Aniello Ferraro,...
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Dears, in phase 3.5 I always get this error message both if I select the aic and sbc criterion. How can I fix? Thanks to those who will help me 3.5) Determining the lag orders of each country model Error using rank Input matrix must not contain NaN or Inf values. Error in AIC_SBC (line 20) s = rank(X);
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Shakirudeen Taiwo posted a comment on discussion General Discussion
Dear Sirs. I am experiencing error message estimating the Individual VECMX* model. The error message showing are as stated below: Error using eig Input to EIG must not contain NaN or Inf. Error in mlcoint (line 182) (W, rho) = eig (S11) Error in gvar (line 1449) [beta. (cnames{n} ) alpha. (cnames{n} ) Psi. (cnames{n} )
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Aamir Javed posted a comment on discussion General Discussion
facing this issue. Unrecognized function or variable 'ind_sim'. Error in bootstrap_GVAR (line 698) nsim = ind_sim; % number of shocks performed Error in gvar (line 4305) [median_PP lbound_PP ubound_PP median_IRF lbound_IRF ubound_IRF median_FEVD lbound_FEVD ubound_FEVD ind_sim overid_LR_95cv overid_LR_99cv] = bootstrap_GVAR(B,N, ...
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This is a typical problem related to the section in the user guide of needing to revisit the specification of your model. Your model as currently specified appears to always be unstable every time a new bootstrap draw is generated. Pleasese follow the guidelines in the user guide of what to consider doing when your model is unstable.
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I am facing a problem like this: Bootstrap #:1 - Creating the bootstrap series - Estimating the VECMX individual models - Solving the GVAR - GVAR is unstable: Another bootstrap replication will be performed 278.41 Bootstrap #:1 - Creating the bootstrap series - Estimating the VECMX individual models - Solving the GVAR - GVAR is unstable: Another bootstrap replication will be performed 110.06 Bootstrap #:1 - Creating the bootstrap series - Estimating the VECMX individual models - Solving the GVAR...
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This error message suggests the data is problematic. First you need to go through the data sheets and ensure that you are obeying all the rules as set out in the user guide especially related to the missing value code. If that is all ok then your data is a problem, for example certain variables of certain countries may not have enough variability.
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Lukman Oyeyinka oyelami posted a comment on discussion General Discussion
Error using gammainc Inputs must be real, full, and double or single. Error in gamm_cdf (line 25) cdf = gammainc(x,a);E
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Raissa Donkeng posted a comment on discussion General Discussion
y (us) = (output, inflation, VIX, shodow short rate, bond outflows) y* (us)= (foreign output, foreign inflation) and for other countries of the model (36 other countries), i opt for these domestic and foreign variables: y = (output, bonf inflows, real interest rate, real exhange rate, equity return) y*= (US bond inflows) in the variables worksheets, i am obliged to put for exple the value of bond outflows of the 36 countries in the worksheet related to this variable knowing that i will not use this...
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y (us) = (output, inflation, VIX, shodow short rate, bond outflows) y* (us)= (foreign output, foreign inflation) and for other countries of the model (36 other countries), i opt for these domestic and foreign variables: y = (output, bonf inflows, real interest rate, real exhange rate, equity return) y*= (US bond inflows) in the variables worksheets, i am obliged to put for exple the value of bond outflows of the 36 countries in the worksheet related to this variable knowing that i will not use this...
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lgutierr posted a comment on discussion General Discussion
Hi, I'm incurring in the same problem. Did you find a solution?
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Ryon posted a comment on discussion General Discussion
Hi, May I know if there is any rule on how many countries with NA (i.e., 123456789) for a variable are allowed when aggregating in the regions? My original grouping has one region with 15 countries of which 6 countries (40%) have NA values for one variable and another region with 10 countries of which 4 countries (again 40%) have NA values for the same variable. When I ran the model, I got error message when doing the unit root test, saying that “Input to SVD must not contain NaN or Inf”. In the...
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shiyu posted a comment on discussion General Discussion
I want to do weak exogeneity tests and Cointegration tests at the 10% level of significance and the GVAR toolbox2.0 only supply the 5% level of significance. Please help me. Hope receive your reply soon. I'm in a hurry to write a paper.
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met a problem like this: Bootstrap #:1 - Creating the bootstrap series - Estimating the VECMX* individual models - Solving the GVAR - GVAR is unstable: Another bootstrap replication will be performed 278.41 Bootstrap #:1 - Creating the bootstrap series - Estimating the VECMX* individual models - Solving the GVAR - GVAR is unstable: Another bootstrap replication will be performed 110.06 Bootstrap #:1 - Creating the bootstrap series - Estimating the VECMX* individual models - Solving the GVAR - GVAR...
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error in bootstrap_GVAR (line 698) nsim = ind_sim; % number of shocks performed error in gvar (line 4305) [median_PP lbound_PP ubound_PP median_IRF lbound_IRF ubound_IRF median_FEVD lbound_FEVD ubound_FEVD ind_sim overid_LR_95cv overid_LR_99cv] = bootstrap_GVAR(B,N, ...
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I don't know how to choose right lag order for serial correlation test for monthly data, because the user guide only says 4 recommended for quarterly data.
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I have read the user guide but still can't find the way to solve it.
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Consult the pdf of the GVAR user guide which is one of the files obtained when you download the toolbox.
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met a problem: Warning: Make sure you have defined each global variable to be domestic in ONE individual model. can't go on. Please help me.
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I already select an information criterion to select the lag orders for the country-specific models, but the columns CJ-CK are blank.
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I provide my own weight matrix, so I did't deal with the flow.xls. I just copy the flow.xls from Template folder, paste into Flows folder and don't do anything. I got this error: Index in position 2 exceeds array bounds (must not exceed 2). Error in gvar (line 230)
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Luccas Assis Attílio posted a comment on discussion General Discussion
The file showing how to interpolate is blank. Can you send it again?
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Ched posted a comment on discussion General Discussion
Hi, I have some questions, i hope you can help me 1) To realize the impulse response i have to re-order the variables and the countries, so i should performe the Cholesky decomposition. I'm wandering if the GVAR toolbox perform the decomposition and if I can access the results ? 2) This question is about variables : I want to confirm something . I'm using the " Gross Domestic Product, Expenditure Approach, Real, Spliced Historical Series, Seasonally Adjusted, Index", do you think these series need...
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chen xiaowei posted a comment on discussion General Discussion
Explanation in appendix B made me confused. I really wonder how these indicators (Y, dp, eq, ep , r, lr ) are derived so that I can replicate this process to expand the original sample from 1979q2-2016q4 to 2020q1
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Azza A Mansour posted a comment on discussion General Discussion
Hello, can I run a GVAR model without assuming one of the countries to be numerair ? and can I instead include the data of this country as a dominant unit model? Thanks for helping
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Salwa AlJabri modified a comment on discussion General Discussion
Hi everyone When I chooses different fixed weights say 1993-1995 or 2005-2007 and 2014-2016, some graphs shown good with bootstrap but some are not, what is the possible reason for that and how I can fix it?
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Hi everyone when I chooses different fixed weights say 1993-1995 or 2005-2007 and 2014-2016, some graphs shown good with boosttrap but some are not, what is the possible reason for that and how I can fix it?
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The null is Ho: No restricted trend
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SALIMA OUERK modified a comment on discussion General Discussion
hi, for the likelihood ratio test on the specification of detertinistic term, the nul hypotheses is : Ho= no trend or Ho= restricted trend thanks
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hi, for the likelihood ratio test on the specification of detertinistic term, the nul hypotheses is fo the test is : Ho= no trend or Ho= restricted trend thanks
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Please email the gvar helpdesk at: gvar.helpdesk@gmail.com for a response to this query. On Tue, Oct 8, 2019 at 10:41 PM Salwa AlJabri salwaaj@users.sourceforge.net wrote: Hi How I can change the 90% boostrap confidence bands to 68% in the gvarBriefDemo? thank you Salwa Bootstrap confidence bands https://sourceforge.net/p/gvar/discussion/general/thread/ec05be180f/?limit=25#8e2c Sent from sourceforge.net because you indicated interest in https://sourceforge.net/p/gvar/discussion/general/ To unsubscribe...
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MERZOUGUI KHADIJA posted a comment on discussion General Discussion
Thank you very much Salwa for your kindness, Ihave already done all what you reccomended me.
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Hi How I can change the 90% boostrap confidence bands to 68% in the gvarBriefDemo? thank you Salwa
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You are welcome, go to the gvarBriefDemo excel and you can find the country codes in the main sheet. also I recommended you to read the GVAR user guide which is in PDF formate, then start to run gvarBriefDemo.xls first then gvarFullDemo. take in your consideration the flow. xls will change if you are not using exactely the same countries. keep going, it is hard in beging but then you will figure out every things, just need time.
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Salwa sorry again. I want to use the existing flows database but the problem is in country codes, it is not possible to know to which country they refer.
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thank you very much Salwa for your answer
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Hi I think it depend! If you are using same countries as the example thats mean you will use same but if you using selected countries based on your model you need to construct a new flow.xls
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hi, it is not clear to me what data i have to put in flows.xls? data of any variable of my model? or I can use also the database of the already fornished flow.xls. Please reply me
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The email is gvar.helpdesk@gmailom
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Thank you I sent an email to gvar.info@gmail.com twice but no response! Is this the right email?
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Hello For these type of questions please send an email to the helpdesk and attach your interface and flows file so we can see what the problem is. Thanks.
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Hi while am using GVAR toolbox 2.0, using the provided gvarFullDemo excel I got this error Index in position 2 exceeds array bounds (must not exceed 2). Error in gvar (line 957) if gvflag(i,j) == 2 How I can fix it? Thank you Salwa
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GVAR released /GVAR_Toolbox2.0_August2014.zip
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Hi, when we compute IRF, we compute for 1 standard deviation (negatif or positif) shock is it possible to know what represent this standard deviation into basic point ? for exple, i compute the responses of variables to 1 standard deviation ngatif shock on policy rate . is it possible to kwon if it the stock is -25 bp ,-50bp ... ? thanks
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ERIC Fosu OTENG-ABAYIE posted a comment on discussion General Discussion
Hi I have similar problem as Hannah. Any help?
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For these type of questions please email the gvar helpdesk. Thanks.
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Hi, I'm trying to implement a gvar model with 70 countries (it's maybe too much ?) and I'm receiving this message when I try to run the program. When it try to calculate the weight matrix. Index exceeds matrix dimensions. Error in build_wmat (line 72) trd = alltrd(:,dslct); Error in gvar (line 664) build_wmat(intfname,fixedweights_flag,trade_tmp,n_trdyears,trade_dates,firstobs,lastobs,min_trdyear,... Can you help me please ?
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A program that will enable sign restrictions will hopefully be made available sometime this year. It is possible to change the bootstrap confidence bands. Please email the gvar helpdesk for this. If your original variables are in (natural) logarithms as are the variables in the toolbox demos then if you mutiply the numbers you get from the program by 100 you will have a percentage interpretation.
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Hi, is it possible to use zero and sign restrictions to identify a shock ? it is possible to change the bootstrap confidence bands ( for exple 80% or 65%)? How can i interpret the result of IRF (in standard deviation, in pourcentage point ...) ? Thank you for yours answers Salima Ouerk phd candidate
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Tom modified a comment on discussion General Discussion
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Please send your excel interface file to gvar.helpdesk@gmail.com so we can look into the problem.
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sheunesu zhou posted a comment on discussion General Discussion
As a new user to gvar, am encountering the following error in executing gvar. I have data running from 1996Q1 to 2013Q1 in my worksheets: Index in position 1 exceeds array bounds. Error in gvar (line 433) if isequal(min_date,gv_tmp(1,1)) && isequal(max_date,gv_tmp(end,1)) % annual data case
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Hi everyone, Thank you for this amazing toolbox. I was wondering how to use montlhy time varying weight for a foreign variable? If I understood well, the toolbox works only with annual weights for now. Thanks a lot for your help, Tom
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What operating system are you using and what version of excel and matlab?
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Jeremy Choquette posted a comment on discussion General Discussion
I am new to MATLAB, and I tried running the GVAR program for the first time. When I run it, even with the gvarBriefDemo file, I get the following error: Undefined function or variable 'DisplayAlerts'. Error in xlsread (line 260) throw(exception); Error in gvar (line 90) pauseflag = xlsread(intfname,'MAIN','pauseflag'); and can't do anything else with it. How can I go about fixing this?
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This is effectively a strategy that ignores cointegration. As long as that is what you want to do then it is feasible within the GVAR program and it will work.
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Since the VIX is a single variable that does not exist for any other country it can be treated as a global variable ( similar for example to the oil price). You then have two options for its specification: you can either specify it as endogenous in the US model for example, or place it in the dominant unit model. The VIX can then enter or not as a weakly exogenous variable in the rest of the country models depending on whether you specify a 1 or a 0 in the worksheet.
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Yes you are, and then you just set that variable to zero for the countries that you will not use it in. As long as those variables will not be used to create corresponding foreign variables, you can use any value for them you like since they will not be included in the model.
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thank you for your help ! just to be sure, in the case of variable i use to create foreign variable , for example the VIX (US variable which do not exist for other countries ),I must put the value 'zero' for other countries in the worksheet . is it right ? thank you
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luching posted a comment on discussion General Discussion
The GVAR model and hence the codes are set up to estimate VECMX models which are then aggregated to yield the global GVAR model. In my implementation, it turns out the cointegrating relationships are quite tricky and hence I am looking to estimate the model using stationary variables. One option I have in mind is to feed in I(1) variables (say in log levels) and then manually set the cointegrating ranks to zeros. Will this strategy work? Any hint will be greatly appreciated.
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Yes you are, and then you just set that variable to zero for the countries that you will not use it in. As long as those variables will not be used to create corresponding foreign variables, you can use any value for them you look since they will not be included in the model.
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No the program will do it for you. You just import your data once in the excel sheets before you start running the program.
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other question, if i use these variables for the US y (us) = (output, inflation, VIX, shodow short rate, bond outflows) y* (us)= (foreign output, foreign inflation) and for other countries of the model (22 other countries), i opt for these domestic and foreign variables: y = (output, bonf inflows, real interest rate, real exhange rate, equity return) y*= (US bond inflows) in the variables worksheets, i am obliged to put for exple the value of bond outflows of the 22 countries in the worksheet related...
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Hi, i have a question about the stationarity of the variables. You propose unit root test in the program. if i import my data without any transformation to induce stationnarity , the program will do the transformation to induce stationarity after the 'unit root test'(first pause)? or should i imput a second time my variables in the files after i transform them ( d(1) .. ) ?? thank you for your answer
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RAKOTONIRAINY MIORA posted a comment on discussion General Discussion
Hi, Thanks for this , but, my concern is that I don't use a foreign variables for my analyse but just domestic macroeconomic and financial variables. And for the unit data, I use just the credit risk indicator both for each bank and for the agregate bank. I think that my variables is not enough because all the study concern the impacts on macroeconomic shocs on credit risk always use foreign data. So, is it always possible to run the GVAR model to my case? or I could add variables for capturing the...
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Please use the 2014 version together with the user guide provided when you download the toolbox. If you have any bug in matlab you can contact the helpdesk to sort it out.
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Federica Pozzi posted a comment on discussion General Discussion
Hi, I'm starting to use Gvar model updating the database you provided and introducing the countries of interest to my analysis. In particular I would use the gvar model to simulate a shock on the price of the copper (inserted as a global variable) on real exchange rates against US dollar and on the other macroeconomics variables. I'm using the 2011 version because the 2014 version is a bug in matlab. Is the model applicable to this type of analysis? I'd also like to know if you can get the materials...
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Yes it is possible since your individual units will be your banks, each with its own variables. You will be able to obtain both the impact of the individual units and the aggregate banks through individual specific and global shocks.
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Hi, I am a new user of GVAR model, I need your help. I want use GVAR model for stress testing bank credit risk of only one country, the goal is to assessing the macroeconomic shocs impact to agregate and individual banks.Thus, The unit that compposes GVAR model is all individual banks financial data and the global variables are composed by the the macroeconomic fundamentals. So, I want to obtain confirmation if it is feasible with the GVAR toolbox to obtain both the impact of individual unit and...
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Unfortunately this is not possible without further coding. Any dummy variable would need to be included in the country specific VECMX models directly, in the same way they would enter any standard VECM model, and not included in the toolbox as a global variable.
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Peter Hartmann posted a comment on discussion General Discussion
Thank you very much for your useful reply. I have another question which I hope you can answer. How can I include dummy variable using the toolbox? I want include a dummy variable in my model which takes the value 1 for periods after the financial crisis and 0 otherwise. If I just include it as global variable, will it work? Thank you.
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Hello The dominant unit can only be one and contains global variables. If you want the US country to act as a dominant unit you simply need to include its variables as global variables in modelling process, which means including the US variables under the heading of the global variables in the main sheet of the interface file (and of course enabling the dominant unit function in the same sheet). Then when you come to the specification of the individual country models make sure that for each country...
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Hi, I am estimating a GVAR model with several countries. I want create a dominant unit where USA will be the dominant unit. How to do it with the GVAR toolbox? In the gvar.xls file under 'dominant unit' tab there is no place to select a certain country as dominant unit. Am I making any mistakes? Any help will be highly appriciated. Thank you. Best,
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Hello Can you please send an email to the gvar.helpdesk@gmail.com with this query...
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I'm a new user of MATLAB and I'm using the GVAR Model for the first time. I'm using...
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Hello If you send your query to gvar.helpdesk@gmail.com we will be able to help you...
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Hello Yes it is correct. It depends on how the objective function is set-up. You...
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Keylor Carmona posted a comment on discussion General Discussion
Hi, I have been studying the GVAR models and now I am running the matlab tool. Running...
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