From Bańbura et al. (2010) to Cascaldi-Garcia’s (2022) Pandemic Priors

Authors and guest post by Ole Rummel and Davaajargal Luvsannyam This is the second in a series of blog posts that will present EViews add-in, LBVAR, aimed at estimating and forecasting a large Bayesian VAR model due to Banbura, Giannone and Reichlin (2010). We will discuss and replicate Cascaldi-Garcia (2022) on this blog.

Principal Component Analysis for Nonstationary Series

Authors and guest post by Eren Ocakverdi

This blog piece intends to introduce a new add-in (i.e. HXPRINCOMP) that implements the procedure developed by Hamilton and Xi (2022).

Nowcasting US GDP During Covid-19 using Factor Augmented MIDAS

The COVID-19 pandemic sent waves through the global economy, triggering a macroeconomic shock and caused unprecedented challenges for economists trying to predict the current state of economies. In the quest for a more timely and accurate assessment of economic conditions during the COVID-19 era, economists and researchers turned to innovative solutions, and one of the most promising techniques emerged: MIDAS (Mixed-Data Sampling) estimation.

State Space Models with GARCH Errors

Authors and guest post by Eren Ocakverdi

This blog piece intends to introduce a new add-in (i.e. SSPACEGARCH) that extends the current capability of EViews’ available features for the estimation of univariate state space models.