SVARpatterns

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zoe_zz
Posts: 6
Joined: Wed Dec 09, 2015 11:05 am

Re: SVARpatterns

Postby zoe_zz » Wed Dec 09, 2015 11:15 am

Hello,

I'd like to know if a more detailed description of the add-in is available. For instance, what is the size of a generated structural shock? It looks to me as one standard deviation; however, is there any way to change it, say to a one-unit shock instead? Also, the Monte Carlo generated bands - are they +/- 2 stdev? How could it be changed?

Your help is much appreciated.

trubador
Did you use forum search?
Posts: 1518
Joined: Thu Nov 20, 2008 12:04 pm

Re: SVARpatterns

Postby trubador » Thu Dec 10, 2015 4:00 am

wilshire wrote:Trubador,
Actually I used the VAR object to perform SVARPatterns. Please see attached the workfile. The VAR object is VAR_COMM, and pattern matrices are pattern_sr for short-run, and pattern_lr for long-run restriction. I have tried many ways to use the SVARPetterns but each time gives the error message "estimation not converges". I donot know why.
Wilshire


I really cannot see anything wrong with your model nor with the add-in. Such large SVAR models usually suffer from the identification problem, where the optimization may fail to find a feasible solution. At the moment, I can only suggest you to try alternative restrictions.


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