This was one of the best if not the best video explaining how to use VAR in stata, not even my professors were this good in explaining this. Thank you Juan!!
Thanks for watching! If you liked the content, feel free to like, share and subscribe! Stay tuned as more tutorials are coming! ✅ You can Buy the Stata DO File + Slides at: jdeconomicstore.com/b/var-model-in-stata 📈Dataset to download [Free] : (Unemployment and Fed Rate - USA): jdeconomicstore.com/b/var-model-in-stata ✅ var model in stata part 1 link: th-cam.com/video/I2IpCRfi7ts/w-d-xo.html ✅The tutorial is also available in EViews at: th-cam.com/video/SbE8ns0oOTs/w-d-xo.html ✅Feel free to subscribe to my channel for more tutorials! Click Link to subscribe: th-cam.com/channels/5P21WGFO4WRUlAiGLcwymg.html Good Luck on your research or assignments! JDEcon.
Orthogonalization is a technique used to mitigate cases when there is correlation in the shocks. OIRFs are the impulse responses estimated after orthogonalizing the shocks. Essentially, the orthogonalization process removes the correlation between the shocks. Hope that makes sense, Regards, JD.
@@JDEconomics I see! And to confirm, both the IRF and OIRF command uses the cholesky decomposition method in ordering the variables? And both graphs illustrates the results of a one s.d shock to the impulsed variable?
@JDEconomics Thank you for this video JD, I have a question, how did you change the name of graph ''IRF, dunemp drate'' to ''Unemployment shock on Fed. Rate''? Many thanks for considering my question.
Hello Aris, thanks for your message. I will submit a tutorial about svar videos. Feel free to subscribe and stay tuned! Also feel free to check my website at www.jdeconomics.com
@JDEconomics I am working on a research paper where my dependent variable is household consumption being explained by social grants and gdp. I followed all your steps but my results are insignificant, especially the impulse response. It's like there's no shock. I have differenced all the variables and they are all stationarity
@@sabathilemazibuko1518 apply logs first, then differences and then multiply it by 100. That will give you the percentage variation. Maybe that transformation will make more sense. Regards,
Hi JD, super helpfull and insightfull video, much appreciated. I have one question, did you already put restrictions on the lower triangular matrix before generating the IRFs? (and did you just not show this in the video?). I am assuming this because you show in the variance decomposition part that stata knows the fedrate does not have a contemporaneous effect on unemployment
hi jd economics! thanks for the presentation of using VAR model. One silly question to ask: after running the granger causality test in stata, how can i know which is the most exogeneous variable and which is the second most exogenous. I am doing my term paper and you helped me a lot! Thank you so muchh!!!
Hello Carlos, Thanks for your message! I am planning to post ARCH Models soon. Feel free to subscribe and stay tuned for more tutorials. Also, you can check my website, www.jdeconomics.com with all the current free tutorials available. Kind Regards, JDEcon.
Hi! Thanks for your message. I am not aware of it. I don’t think you can estimate a negative shock. By default, the shock is possitive. In case you want to analyze a negative shock, assume negative shocks to be mirrored versions of the positive shocks. In other words, it’s the opposite of the positive response. Other softwares do allow it, but I don’t know it for Stata. Regards, JD
@@JDEconomics just a quick question, what should you do if the AIC SBIC and HQIC indicate that 0 lags are best? with reference to part 1 of this series
@@JDEconomics It is very kind of you and your explanations are very clear, Please kindly do a session on differences in differences using STATA. How covid 19 affects on pricing behaviour etc. Good luck!!!
Thank you for the video. How can I convert the magnitude of the shock from standard deviation to percentage points? So to answer the question, 1% change in monetary policy, causes what rate of percentage change in my variable?
Hello, thanks for your message. I will see if I can zoom in next video. Make sure you are watching the video in Full HD 1080. That may help a bit more. Thanks for the feedback!
Can i ask a question? Here you use Uemp and f.rate, if we have more than two variables to study, like multiple stock indices 5 or 10, can we use it to check volatility and spill over? Thanks
@@JDEconomics So, there is a new independent variable (x.z) which is combined by different independent variables but also can create effect when they came together.
Hi! Thank you for the amazing video! I have a question. I did some research for my paper but I did not come to a sensical explanation how I can use the granger causality test to decide which variables are the most and the least exogeneous? Imagine I have a VAR with 4 variables: some of them granger cause the other variables(uniliterally) and in some cases both granger cause each other(biliterally).. How can I use this for the right ordering of variables in my specification? Thank you! :)
Thanks a lot, sir. It's okay to use these model for measuring volatility. Our thesis titled " Volatility Of Consumption crude oil and energy" our data is annually 1990 to 2020. ASAP feedback pls
@@JDEconomics I'm currently analyzing the relationship of a dummy variable (as exogenous variable) and a couple endogenous variables using VAR model. I can obtain the IRF by the dynamic multiplier function on Stata. But I cannot find any command regarding variance decomposition using exogenous variable. Is variance decomposition can only be applied on endogenous variables? Thank you!
Thank you for the reply. Is there any useful links you may have for learning myself how to do it? I need it for my project/dissertation which is due in the near future.@@JDEconomics
This was one of the best if not the best video explaining how to use VAR in stata, not even my professors were this good in explaining this. Thank you Juan!!
Wow, thanks! Good luck. JD
You saved my final university thesis, you will always be my hero ❤❤❤
Thanks a lot! Congratulations!!
Thanks for watching! If you liked the content, feel free to like, share and subscribe! Stay tuned as more tutorials are coming!
✅ You can Buy the Stata DO File + Slides at:
jdeconomicstore.com/b/var-model-in-stata
📈Dataset to download [Free] : (Unemployment and Fed Rate - USA):
jdeconomicstore.com/b/var-model-in-stata
✅ var model in stata part 1 link: th-cam.com/video/I2IpCRfi7ts/w-d-xo.html
✅The tutorial is also available in EViews at: th-cam.com/video/SbE8ns0oOTs/w-d-xo.html
✅Feel free to subscribe to my channel for more tutorials! Click Link to subscribe:
th-cam.com/channels/5P21WGFO4WRUlAiGLcwymg.html
Good Luck on your research or assignments!
JDEcon.
Thank you JD for your useful and practical Lectures
My pleasure! Thanks for watching
Please make a video on Local projection by Jorda in STATA
Thank you for this video and very useful for developing research on the VAR model. Regards
Thanks!
Thanks for the really informative video! About the IRF command options, what is the difference between the simple irf and the oirf command?
Orthogonalization is a technique used to mitigate cases when there is correlation in the shocks. OIRFs are the impulse responses estimated after orthogonalizing the shocks. Essentially, the orthogonalization process removes the correlation between the shocks. Hope that makes sense, Regards, JD.
@@JDEconomics I see! And to confirm, both the IRF and OIRF command uses the cholesky decomposition method in ordering the variables? And both graphs illustrates the results of a one s.d shock to the impulsed variable?
Thank you Juan! Very good and understandable explanation!
That’s great! Thanks. Take care, JD
Thanks for the useful video and clear explanations!
Thanks for the positive feedback! Best regards, JD
@JDEconomics Thank you for this video JD, I have a question, how did you change the name of graph ''IRF, dunemp drate'' to ''Unemployment shock on Fed. Rate''? Many thanks for considering my question.
In the graph window there is an option that says “edit”. Lmk if you find it
@@JDEconomics Very helpful, I found it. Thanks!
@@JDEconomics JD, quick question. How to solve the seasonality problem of data in Stata? What is the command? Thanks in advance!
Very very Helpful.. Thanks a ton!
Glad it was helpful!l
Are there STATA tutorials on ARCH and GRACH? If so please mention the link.
Not yet! There should be though some time soon.
Thanks a lot, JD Economics! SVAR in STATA, please.
Hello Aris, thanks for your message. I will submit a tutorial about svar videos. Feel free to subscribe and stay tuned! Also feel free to check my website at www.jdeconomics.com
Thank you for these videos, very helpful. I wanted to ask, do you still take questions?
Thanks for your feedback. You can ask me your questions, Regards
@JDEconomics I am working on a research paper where my dependent variable is household consumption being explained by social grants and gdp. I followed all your steps but my results are insignificant, especially the impulse response. It's like there's no shock. I have differenced all the variables and they are all stationarity
@@sabathilemazibuko1518 apply logs first, then differences and then multiply it by 100. That will give you the percentage variation. Maybe that transformation will make more sense. Regards,
@@JDEconomics Yes, all my variables are in logs
Hi JD, super helpfull and insightfull video, much appreciated. I have one question, did you already put restrictions on the lower triangular matrix before generating the IRFs? (and did you just not show this in the video?). I am assuming this because you show in the variance decomposition part that stata knows the fedrate does not have a contemporaneous effect on unemployment
Hi! Thanks for your message. By default Stata will estimate the model with a lower triangular matrix identification. Cheers
hi jd economics! thanks for the presentation of using VAR model. One silly question to ask: after running the granger causality test in stata, how can i know which is the most exogeneous variable and which is the second most exogenous. I am doing my term paper and you helped me a lot!
Thank you so muchh!!!
Hi, no worries. The variables that are explained by others (according to the granger test) are most endogenous that those that aren't.
Regards. JD.
thank you so much, very clear!
Thanks for the feedback! Regards, JD
Excellent!!!!
Thanks! Feel free to share my channel to others and visit my website!
Best regards, JD
Thanks a lot! Excellent explanation. Can you make a video about ARCH, GARCH, EGARCH and all family of models ... on Stata???
Hello Carlos, Thanks for your message! I am planning to post ARCH Models soon. Feel free to subscribe and stay tuned for more tutorials. Also, you can check my website, www.jdeconomics.com with all the current free tutorials available.
Kind Regards,
JDEcon.
Hi Carlos, I submitted an ARCH tutorial in EVIews. Here is the link: th-cam.com/video/_-HFP5KXwIk/w-d-xo.html
I will submit later one on stata too.
Thank you for this video JD, I have a question, how could I do impulse response functions that reflect negative shock instead of a positive shock
Hi! Thanks for your message. I am not aware of it. I don’t think you can estimate a negative shock. By default, the shock is possitive. In case you want to analyze a negative shock, assume negative shocks to be mirrored versions of the positive shocks. In other words, it’s the opposite of the positive response. Other softwares do allow it, but I don’t know it for Stata. Regards, JD
hola juan como andas? me encanto el video y me sirvio un monton, seria mucho pedir un video sobre VEC model? Muchas Gracias tu canal me encanto!!!
Gracias Mauricio. Se viene Arch/garch en stata y luego VECM
very useful. Thank you!!
Thanks for the feedback! Best regards
@@JDEconomics just a quick question, what should you do if the AIC SBIC and HQIC indicate that 0 lags are best? with reference to part 1 of this series
Excellent presentation, If the data set is stationary at 1(0) could I able to apply VAR?Granger causality and impulse response functions etc.
Hello! Yes, you can go ahead! Regards, JD
@@JDEconomics It is very kind of you and your explanations are very clear, Please kindly do a session on differences in differences using STATA. How covid 19 affects on pricing behaviour etc. Good luck!!!
@@mr.pvsharshana3331 sounds good! Will add it to the list! Take care, JD
Thank you for your videoo! Could i ask whether the VAR model have a robustness test or not? I just want to know, thank you again!
Thank you for the video. How can I convert the magnitude of the shock from standard deviation to percentage points?
So to answer the question, 1% change in monetary policy, causes what rate of percentage change in my variable?
Thanks for the lecture. I have enjoyed it. However, STATA command font size is so small that it is very difficult to read.
Hello, thanks for your message. I will see if I can zoom in next video. Make sure you are watching the video in Full HD 1080. That may help a bit more. Thanks for the feedback!
Can i ask a question? Here you use Uemp and f.rate, if we have more than two variables to study, like multiple stock indices 5 or 10, can we use it to check volatility and spill over? Thanks
Hi, thank you for all the videos, is there a chance that you upload a video about interaction terms in a regression and their analysis in STATA?
Hi! your welcome! I don’t know what you mean by interaction terms.
@@JDEconomics For instance: y=a+b.x+c.z+d.(x.z)+u
@@JDEconomics So, there is a new independent variable (x.z) which is combined by different independent variables but also can create effect when they came together.
Thanks a lot
Most welcome!
Hi!
Thank you for the amazing video! I have a question. I did some research for my paper but I did not come to a sensical explanation how I can use the granger causality test to decide which variables are the most and the least exogeneous? Imagine I have a VAR with 4 variables: some of them granger cause the other variables(uniliterally) and in some cases both granger cause each other(biliterally).. How can I use this for the right ordering of variables in my specification?
Thank you! :)
smooth explanation!!😁
Thanks! I will be submitting many more tutorials in Stata and Eviews! Feel free to subscribe and share !
Good Luck Mayank!
JD Econ.
Thanks a lot, sir. It's okay to use these model for measuring volatility. Our thesis titled " Volatility Of Consumption crude oil and energy" our data is annually 1990 to 2020. ASAP feedback pls
Didn't see where you impose the zero value of the cholesky decomposition, tanks!
I didn’t impose it. It’s the default way to identify the model. regards,
Hey Juan! Great video!
I was trying to run the irf set irf code but couldn't(error(603))? Any way I can solve this problem?
Hey, I’m not sure as I am not in my laptop now. Currently working. You can get the Do file if you are interested. I can check tomorrow. Regards
Can I use a VAR Garch model in Eviews or Rstudio using stock returns and accounting information?
Hi. Yes, you could.
Regards,
@@JDEconomics 🌻
Can we obtain variance decomposition of exogenous variable as an impulse?
Thank you very much
Csn you give me an example? All the variables are endogenous in this type of models.
@@JDEconomics I'm currently analyzing the relationship of a dummy variable (as exogenous variable) and a couple endogenous variables using VAR model. I can obtain the IRF by the dynamic multiplier function on Stata. But I cannot find any command regarding variance decomposition using exogenous variable.
Is variance decomposition can only be applied on endogenous variables?
Thank you!
@@rifdahfadhilah1137 only from endogenous variables.
@@JDEconomics okay then. Thank you very much
can you please explain the meaning of impulse and response in the command of generating the graph, i put the variables but it is not working.
where is part 3 using structural VAR??
Hi Ben, there is no part 3. I could in a future make a video about it. Feel free to subscribe so you get notified when I submit the video. Regards,
Thank you for the reply. Is there any useful links you may have for learning myself how to do it? I need it for my project/dissertation which is due in the near future.@@JDEconomics