SVAR - SIRF Add-in

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potro
Posts: 2
Joined: Fri Dec 02, 2016 11:43 am

SVAR - SIRF Add-in

Postby potro » Fri Dec 02, 2016 12:09 pm

Hi,

First of all english is not my main language so sorry for my writing mistakes. I am writing my thesis (which consists in the comparison between two SVARs with LR restrictions) and I need to obtain the IRs from the structural decomposition but for a given shock. The problem is that EVIEWS predefines the shock as a standard deviation and since the samples are different (with different standard deviations) a simple contrast between IR graphs is not useful.

Reading through the forum I found an add-in called 'sirf' that I think may be useful for my purposes, but I have two complications. First, I do not know if this will allow me to contrast two IRs (could I assign the same shock for the two different SVAR's?). Second, I do not know how to use the add-in (do I use it after applying the structural factorization of the VAR or after getting the impulse response under structural decomposition?)

I forget to mention that the SVAR is calculated imposin long-run restrictions.

Thanks in advance for your help, im kind of worried about this,

PRG

dakila
Posts: 260
Joined: Tue Nov 24, 2015 4:57 pm

Re: SVAR - SIRF Add-in

Postby dakila » Fri Dec 02, 2016 4:17 pm

1. Yes, you can use the sirf add-in.
2. After getting the impulse response under structural decomposition

potro
Posts: 2
Joined: Fri Dec 02, 2016 11:43 am

Re: SVAR - SIRF Add-in

Postby potro » Fri Dec 02, 2016 5:53 pm

I really appreciate your help! Thank you very much..
¿Is there any way that i can boostrap the results after using sirf add-in?

dakila
Posts: 260
Joined: Tue Nov 24, 2015 4:57 pm

Re: SVAR - SIRF Add-in

Postby dakila » Sat Dec 03, 2016 4:48 am

no


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