SVAR Long & Short run restrictions

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brightcake
Posts: 2
Joined: Sun Jul 23, 2017 3:14 am

SVAR Long & Short run restrictions

Postby brightcake » Sun Jul 23, 2017 7:53 am

So i'm currently doing my dissertation where i've decided to follow the methodology of this paper: https://www.snb.ch/n/mmr/reference/work ... 3_05.n.pdf. They essentially use US data to build a SVAR which as four shocks: two short and two long-run shocks. I'm currently trying to follow this methodology but apply the analysis to Norway. However, i've run into a few problems.

1)I haven't been able to estimate both short-run and long-run shocks in either stata or Eviews. I understand that Matlab would be a more ideal package to use, however, I don't feel like I have the required knowledge to use it.
2)I'm not entirely sure I understand the paper's restrictions on both the short and long-run matrices of the SVAR. I've tried to estimate the short run shocks by themselves but my impulse response functions look really wrong.
3)The paper estimates a few of the SVAR equations using 2SLS and I honestly have no idea how to implement this in a SVAR framework.

Any advice would be greatly appreciated, i've been stuck on this issue for a few weeks and my supervisor is unavailable.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13294
Joined: Tue Sep 16, 2008 5:38 pm

Re: SVAR Long & Short run restrictions

Postby EViews Gareth » Sun Jul 23, 2017 11:40 am

EViews 10 allows both SR and LR restrictions.
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