Sign Restricted VAR

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Joined: Wed Jul 31, 2019 3:15 pm

Re: Sign Restricted VAR

Postby Pmat » Thu Aug 01, 2019 12:28 pm

chartwel wrote:
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.

I am sorry if I’m also being silly, but I have the same question and I did not understand the answer. For example, in a 3 variable VAR if you set +3 as a constraint, what exactly are you constraining? I think you are constraining the RESPONSE of the third variable to be positive. But the response to what shock?? If, let’s say, I want to constrain the response of the THIRD variable to a shock on the SECOND variable to be positive, how do I use the addin to perform this? Again, sorry if this is a silly question, but I’ve read the instructions and it is not clear to me. Thank you very much.

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Re: Sign Restricted VAR

Postby gvera » Mon Mar 30, 2020 2:54 pm

How do I write a zero restriction in the command line of srvar? Thank you.

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Joined: Tue Nov 24, 2015 4:57 pm

Re: Sign Restricted VAR

Postby dakila » Mon Mar 30, 2020 4:27 pm

For example:

Code: Select all

srvar(method=0, zvar=gdpc1) 12 rest @ gdpc1 gdpdef cprindex fedfunds bognonbr totresns

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