Sign and Magnitude restriction in VAR (Eviews 9)

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adisaxen
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Joined: Thu Oct 04, 2018 11:07 pm

Sign and Magnitude restriction in VAR (Eviews 9)

Postby adisaxen » Tue Oct 09, 2018 3:36 am

Hi, I need help with estimating a VAR with sign and magnitude restrictions.
My Problem is as follows:
Suppose I have four variables: A, B, C, D. I want to assess the impact of shock in variable 'A' (in time t) on other variables- 'B', 'C' and 'D'. I want to impose a magnitude restriction and assume that the effect of the shock ‘A’ on impact (in time t) is at least ‘k’ billion. In addition to this, I want to impose sign restriction- we assume that shock ‘A’ will have negative effect on variable ‘B’; and positive effect on itself and variables ‘C’ and ‘D’ with a lag, namely in lags one to three (t+1, t+2, t+3). The data is from 1985 to 2018 and the shock took place in 2001Q1 and sign restrictions have to be put for next three quarters- 2001Q2, Q3 and Q4.

How can I estimate this in Eviews 9?

EViews Matt
EViews Developer
Posts: 292
Joined: Thu Apr 25, 2013 7:48 pm

Re: Sign and Magnitude restriction in VAR (Eviews 9)

Postby EViews Matt » Tue Oct 09, 2018 9:36 am

Hello,

Take a look at the srvar addin for performing a sign-restricted VAR estimation. You can also use the sirf addin to examine impulse responses with a magnitude of your choosing.


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