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: 267
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: 267
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: 267
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: 267
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: 267
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.


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