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MacroDave / SignVAR_Eviews

Sign Restrictions in Eviews
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Run time? #1

Open bogmunds opened 3 years ago

bogmunds commented 3 years ago

I've been running this code and it is taking 12-24 hours? How long is it supposed to take? The other sign-restricted VAR add-in runs very fast, but doesn't include historical decomposition.

MacroDave commented 3 years ago

The run-time depends a lot on how many variables you have in the system and how many restrictions you are imposing. This code isn't written very efficiently, I wrote it more as a way to learn sign restrictions than as a general purpose code. It is doing a lot of matrix operations and those take a long-time in Eviews (which is great at matrix stuff).

If there are other sign VAR add-ins then I would suggest using those to estimate the VAR. Once you have the final results you can pretty simply use the HDecomp subroutine to do the decompositions. Its been a while since I looked but you should only need to convert the final VAR into its companion mode (ie. rewrite it as a VAR(1) ) and then run the subroutine

bogmunds commented 3 years ago

Thanks for replying (and for the code!). I will definitely try that.