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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.