Sign Restricted VAR

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Pmat
Posts: 1
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.

gvera
Posts: 1
Joined: Mon Mar 02, 2020 6:48 am

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.

dakila
Posts: 479
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

Est123
Posts: 1
Joined: Sat Feb 04, 2023 1:51 am

Re: Sign Restricted VAR

Postby Est123 » Sat Feb 04, 2023 10:37 am

Hello!

Is it possible to use the srvar add-in with panel data?

dakila
Posts: 479
Joined: Tue Nov 24, 2015 4:57 pm

Re: Sign Restricted VAR

Postby dakila » Sun Feb 12, 2023 6:46 am

No

atbarbar
Posts: 6
Joined: Thu Aug 24, 2017 8:58 am

Re: Sign Restricted VAR

Postby atbarbar » Fri Feb 09, 2024 2:33 pm

Unfortunately the documentation just does not help to understand how to place constraints on multiple variables. A concrete example. I have a simple 2 variables VAR with two endogenous variables, y1 and y2 with respective shocks e1 and e2. I want the impulse response of y1 to a shock from e1 to be positive. I want the impulse response of y1 to a shock from e2 to be positive. I want the response of y2 to a shock from e1 to be negative and the response of y2 to a shock from e2 to be positive. Question:
1) Can I do it with srvar?
2) If I can, show me the vector necessary to implement that
3) Irrespective of whether I can do it or not with srvar, more in general how can I get the historical decomposition of a sign restricted var estimated with srvar? The output from srvar stores a VAR object but that is the simple unconstrained reduced form so the historical decomposition with that object is not what I want.

Thanks.

dakila
Posts: 479
Joined: Tue Nov 24, 2015 4:57 pm

Re: Sign Restricted VAR

Postby dakila » Sat Feb 10, 2024 10:47 pm

You can't identify multiple shocks for the srvar add-in.

atbarbar
Posts: 6
Joined: Thu Aug 24, 2017 8:58 am

Re: Sign Restricted VAR

Postby atbarbar » Thu Feb 15, 2024 9:37 pm

Can you identify multiple shocks with the ARW addin?

dakila
Posts: 479
Joined: Tue Nov 24, 2015 4:57 pm

Re: Sign Restricted VAR

Postby dakila » Tue Feb 20, 2024 5:17 am

No.

atbarbar
Posts: 6
Joined: Thu Aug 24, 2017 8:58 am

Re: Sign Restricted VAR

Postby atbarbar » Thu Feb 29, 2024 6:51 pm

Ok, having cleared the fact that there is no way in Eviews to impose sign restrictions on the impulse responses of multiple shocks, you have not answered yet my last question above, question 3: suppose that I just want to impose sign restrictions on the impulse response of one shock. That can be done in Eviews. How do I get the historical decomposition from such structural identification?


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