SVAR restrictions

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Redvers-Jones
Posts: 3
Joined: Mon Aug 08, 2016 3:23 am

SVAR restrictions

Postby Redvers-Jones » Fri Sep 16, 2016 3:35 am

I am trying to recreate an SVAR from a paper by Forbes, Hjortsoe & Nenova (http://www.bankofengland.co.uk/monetary ... er0043.pdf[/url]) but I need some help with the restirctions. I know what they are supposed to be (see image) but I am struggling to put the code together. I have used the help guide on SVARs but have not made much progress.

If anybody could lend a hand it would be greatly appreciated.
(Eviews version 9, all variables in the same order as presented in the table).

Thanks very much for any help
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dakila
Posts: 270
Joined: Tue Nov 24, 2015 4:57 pm

Re: SVAR restrictions

Postby dakila » Sat Sep 17, 2016 4:46 am

You cannot. It is combination of parametric (short and long run zero type) and sign restrictions. There are 2 add-in that separately handle parametric and sign restrictions: the svarpatterns add-in, the srvar add-in.

Redvers-Jones
Posts: 3
Joined: Mon Aug 08, 2016 3:23 am

Re: SVAR restrictions

Postby Redvers-Jones » Thu Mar 30, 2017 8:57 am

Are there any plans to support this feature in future versions? It is available is other packages so would be nice to get it in Eviews ideally.
Thanks

EViews Matt
EViews Developer
Posts: 161
Joined: Thu Apr 25, 2013 7:48 pm

Re: SVAR restrictions

Postby EViews Matt » Thu Mar 30, 2017 9:48 am

The next version of EViews will natively provide greater flexibility in restricting SVARs, but I'm not at liberty to divulge specific features.

jmurray804
Posts: 6
Joined: Fri Jun 10, 2016 8:37 am

Re: SVAR restrictions

Postby jmurray804 » Thu Sep 07, 2017 2:17 am

Hi, I've estimated an SRVAR on just the short-term restrictions above.
When I plot the impulse responses it just says impulse response -- to which shock is it referring?
I would like to recover the response of GDP to a structural monetary policy shock.

Thanks very much in advance for any help offered.

dakila
Posts: 270
Joined: Tue Nov 24, 2015 4:57 pm

Re: SVAR restrictions

Postby dakila » Thu Sep 07, 2017 2:44 am

your question is unclear.

jmurray804
Posts: 6
Joined: Fri Jun 10, 2016 8:37 am

Re: SVAR restrictions

Postby jmurray804 » Fri Sep 08, 2017 3:45 am

you are right, sorry -- that was unclear.

One basic question is, is it possible to estimate the SRVAR with more than one structural shock at the same time?
And, separately, is it possible to include exogenous variables in the SRVAR?

dakila
Posts: 270
Joined: Tue Nov 24, 2015 4:57 pm

Re: SVAR restrictions

Postby dakila » Fri Sep 08, 2017 7:42 am

For the pure sign restriction method you can. You can do it recursively. After identifying the first shock, then the second so on. The order of sign restriction is does not matter for the pure sign restriction method. However for penalty function approach you cannot. The next version will include this option (for example like Mountford and Uhlig 2009).


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