Time varying SVAR

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rosh
Posts: 4
Joined: Thu Mar 29, 2018 10:24 am

Re: Time varying SVAR

Postby rosh » Tue Apr 03, 2018 11:18 pm

thanks, it was due to old version of Eviews, I just need to ask that my cointegration test show some longterm relations, if still I can apply TVSVAR, when i checked for unitroot, all variables are stationary except the interest rate, I am using the growth rates for each variable..

binhpham79
Posts: 2
Joined: Fri Apr 27, 2018 12:08 pm

Re: Time varying SVAR

Postby binhpham79 » Fri May 11, 2018 6:57 am

Hi Dakila,

I attempt to replicate fig 4-7 of Primiceri (2005). The add-ins does not permit access to its estimates and matrix coeffs. Could you please provide the way replicate the paper fully?

My understanding is that the author computed irf for each point in time (it could be 193 x 4 irf tables), say irf with the 60-quarter horizon. Then collect the irf(0), irf(10), irf(20) and irf(60) of each irf set to plot fig 5. I just confuse what the term permanent shock means? Could you point me out this point?

Anyway, to compute we need the irf matrix or series generated. So, the add-ins should allow for that.

Many thanks.


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