Vary Horizons - Githubissues

VFCI / vfciBusinessCycles

Research project exploring the relationship between financial conditions and business cycles.

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Vary Horizons #62

Closed matdehaven closed 1 month ago

matdehaven commented 2 months ago

We can vary horizons both of the internal and the external VFCIs. We need to compare this variation.

matdehaven commented 2 months ago

[x] Estimate VAR with left hand side forwarded to different horizons to make more similar to comparing to the external VFCI
[x] Take the differences of the means for the mean-vol figures when estimating with the VAR in levels

matdehaven commented 2 months ago

[x] Compare the internal vfci identified var shocks with some horizon to the externally identified vfci shocks with some horizon

matdehaven commented 2 months ago

Estimating the VAR with the dependent side forwarded to different horizons is not straightforward in the code. It would require writing our own VAR estimating function, where we can pass different independent and dependent variables. The vars::VAR() function only takes the dependent variable and some number of lags to generate the independent variables, which does not allow for what we want to do.

matdehaven commented 1 month ago

Finished implementing the direct VAR estimates for forwarded horizons with the function var_direct().

Comparing the direct vs iterated forecasts.

Mean-vol figures with direct VARs Mean-vol figures with iterated VARs