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Re: Sign Restricted VAR

Posted: Wed Nov 16, 2016 3:27 pm
by jjms59
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?

Re: Sign Restricted VAR

Posted: Wed Nov 16, 2016 3:59 pm
by dakila
Did you read the instruction? It is located in C:\Users\...\Documents\EViews Addins\srvar. (srvar.pdf)

Re: Sign Restricted VAR

Posted: Tue Dec 13, 2016 9:11 am
by Berndt12
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

Re: Sign Restricted VAR

Posted: Tue Dec 13, 2016 4:33 pm
by dakila
I updated the srvar add-in. Please check the add-in webpage.

Re: Sign Restricted VAR

Posted: Wed Aug 02, 2017 5:46 am
by smrehman
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

Re: Sign Restricted VAR

Posted: Wed Aug 02, 2017 5:54 am
by dakila
It is not possible to restrict the parameter or the matrix. The sign restriction vector is related the IRF.

Re: Sign Restricted VAR

Posted: Fri Aug 04, 2017 11:21 am
by SWAR
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

Re: Sign Restricted VAR

Posted: Fri Aug 04, 2017 9:01 pm
by dakila
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.

Re: Sign Restricted VAR

Posted: Mon Oct 02, 2017 6:22 am
by chartwel
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?

Re: Sign Restricted VAR

Posted: Mon Oct 02, 2017 11:58 pm
by dakila
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.

Re: Sign Restricted VAR

Posted: Tue Oct 03, 2017 12:31 am
by chartwel
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.

Re: Sign Restricted VAR

Posted: Sat Jan 05, 2019 5:39 pm
by mwxhappy
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!

Re: Sign Restricted VAR

Posted: Sun Jan 06, 2019 4:42 am
by mwxhappy
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.