Sign Restricted VAR

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jjms59
Posts: 1
Joined: Wed Nov 16, 2016 3:20 pm

Re: Sign Restricted VAR

Postby jjms59 » Wed Nov 16, 2016 3:27 pm

Hi! I have two simple question. First, I'm estimating a BVAR model and I'd like to use sign restrictions too for my impulse responde functions. In this way, is it possible to do this with your add-in. Second, I don't get how to put the restrictions. Let's imagine I have a trivariate VAR (GDP, inflation and monetary policy interest rate). How can I define impact of monetary policy shock on the variables and, then, impact of a demand shock (let's imagine a shock of product). Is it possible?

dakila
Posts: 358
Joined: Tue Nov 24, 2015 4:57 pm

Re: Sign Restricted VAR

Postby dakila » Wed Nov 16, 2016 3:59 pm

Did you read the instruction? It is located in C:\Users\...\Documents\EViews Addins\srvar. (srvar.pdf)

Berndt12
Posts: 1
Joined: Tue Dec 13, 2016 4:20 am

Re: Sign Restricted VAR

Postby Berndt12 » Tue Dec 13, 2016 9:11 am

Hello,

I have got a question regarding the IRF outputs. Can I somehow save the underlying data?
Because only the basic VAR and the graphs are getting saved into the workfile, I cannot obtain the underlying data of the IRFs. And exporting is only possible to a picture file.

Thanks

dakila
Posts: 358
Joined: Tue Nov 24, 2015 4:57 pm

Re: Sign Restricted VAR

Postby dakila » Tue Dec 13, 2016 4:33 pm

I updated the srvar add-in. Please check the add-in webpage.

smrehman
Posts: 4
Joined: Sun Jul 30, 2017 6:26 am

Re: Sign Restricted VAR

Postby smrehman » Wed Aug 02, 2017 5:46 am

Thank you so much for the add-in! I read the guide, but I am still confused about one thing.
How do I add this sign restriction vector?

(a11) 0 0 0
a(21) a(22) 0 0
a(31) a(32) a(33) 0
a(41) a(42) a(43) a(44)



Sorry if the question is really easy to solve! But I have been trying to understand it

dakila
Posts: 358
Joined: Tue Nov 24, 2015 4:57 pm

Re: Sign Restricted VAR

Postby dakila » Wed Aug 02, 2017 5:54 am

It is not possible to restrict the parameter or the matrix. The sign restriction vector is related the IRF.

SWAR
Posts: 1
Joined: Fri Aug 04, 2017 10:23 am

Re: Sign Restricted VAR

Postby SWAR » Fri Aug 04, 2017 11:21 am

Dear dakila,

Thank you for posting this. Trying to specify a SVAR with 6 variables, I get the following error message
"6 is not a valid index for vector-series-coefficient SCALES01." Would you be so kind and help me in interpreting/solving this?

Also, is it possible to implement a combination of sign and zero restrictions using your add-in?

Kind regards and many thanks

dakila
Posts: 358
Joined: Tue Nov 24, 2015 4:57 pm

Re: Sign Restricted VAR

Postby dakila » Fri Aug 04, 2017 9:01 pm

Could you post the working file?

Also, is it possible to implement a combination of sign and zero restrictions using your add-in?


No. It is not possible.

chartwel
Posts: 12
Joined: Tue Mar 02, 2010 5:00 pm

Re: Sign Restricted VAR

Postby chartwel » Mon Oct 02, 2017 6:22 am

I have a basic and very silly question about interpreting the impulse response graphs that come as the output from the srvar command. When doing a standard VAR, it gives us graphs which explicitly state the effect of endogenous x on y... however, srvar just gives graphs with "impulse response of X." In my data, I am using two variables, one which is a dependent and one which is independent but both are endogenous. Would I interpret the impulse function of Y graph as the effect of an innovation shock in X? And vice versa?

dakila
Posts: 358
Joined: Tue Nov 24, 2015 4:57 pm

Re: Sign Restricted VAR

Postby dakila » Mon Oct 02, 2017 11:58 pm

No. You cannot interpret like that. First define the shock by the sign restriction, then interpret impulse response function of Y and X as the effect of that shock.

chartwel
Posts: 12
Joined: Tue Mar 02, 2010 5:00 pm

Re: Sign Restricted VAR

Postby chartwel » Tue Oct 03, 2017 12:31 am

dakila wrote:No. You cannot interpret like that. First define the shock by the sign restriction, then interpret impulse response function of Y and X as the effect of that shock.


That makes perfect sense. Thanks for the clarification, it is all clear now.

mwxhappy
Posts: 3
Joined: Sat Jan 05, 2019 6:20 am

Re: Sign Restricted VAR

Postby mwxhappy » Sat Jan 05, 2019 5:39 pm

hi,I'd like to ask you a question. What is the difference between the variance decomposition that the option under the srVAR and the VAR variance decompositions in the view menu? What is meaning of the variance decomposition option in the srVAR add-in? Thanks a lot!

mwxhappy
Posts: 3
Joined: Sat Jan 05, 2019 6:20 am

Re: Sign Restricted VAR

Postby mwxhappy » Sun Jan 06, 2019 4:42 am

and I also want to the meaning of "Fraction of variance explained for XXX",when I choose the variance decomposition in the SRVAR window. Is there some relation with variance decomposition in the view menu of simple VAR.

apple564
Posts: 3
Joined: Tue Jun 08, 2010 4:18 pm

Re: Sign Restricted VAR

Postby apple564 » Fri Mar 08, 2019 8:28 am

I am still struggling to get it correct. I checked the example in the instruction folder. If I run the program, it works fine. However, if I type in the 'rest' vector, it always gives me the error of 'non-numeric'.
Additionally, the sign restrictions entered in the 'rest' vector are only for the monetary policy shock in the paper. However, if I need to assign the signs for two shocks, how could I do it? Do I create matrix?

dakila
Posts: 358
Joined: Tue Nov 24, 2015 4:57 pm

Re: Sign Restricted VAR

Postby dakila » Tue Mar 12, 2019 3:40 pm

Be specific. For example show me how you type the rest vector. if you need to identify 2 shocks, do it recursively. But it is valid only for the rejection method.


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