## Sign Restricted VAR

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jjms59
Posts: 1
Joined: Wed Nov 16, 2016 3:20 pm

### Re: Sign Restricted VAR

Hi! I have two simple question. First, I'm estimating a BVAR model and I'd like to use sign restrictions too for my impulse responde functions. In this way, is it possible to do this with your add-in. Second, I don't get how to put the restrictions. Let's imagine I have a trivariate VAR (GDP, inflation and monetary policy interest rate). How can I define impact of monetary policy shock on the variables and, then, impact of a demand shock (let's imagine a shock of product). Is it possible?

dakila
Posts: 373
Joined: Tue Nov 24, 2015 4:57 pm

### Re: Sign Restricted VAR

Did you read the instruction? It is located in C:\Users\...\Documents\EViews Addins\srvar. (srvar.pdf)

Berndt12
Posts: 1
Joined: Tue Dec 13, 2016 4:20 am

### Re: Sign Restricted VAR

Hello,

I have got a question regarding the IRF outputs. Can I somehow save the underlying data?
Because only the basic VAR and the graphs are getting saved into the workfile, I cannot obtain the underlying data of the IRFs. And exporting is only possible to a picture file.

Thanks

dakila
Posts: 373
Joined: Tue Nov 24, 2015 4:57 pm

### Re: Sign Restricted VAR

I updated the srvar add-in. Please check the add-in webpage.

smrehman
Posts: 4
Joined: Sun Jul 30, 2017 6:26 am

### Re: Sign Restricted VAR

Thank you so much for the add-in! I read the guide, but I am still confused about one thing.
How do I add this sign restriction vector?

(a11) 0 0 0
a(21) a(22) 0 0
a(31) a(32) a(33) 0
a(41) a(42) a(43) a(44)

Sorry if the question is really easy to solve! But I have been trying to understand it

dakila
Posts: 373
Joined: Tue Nov 24, 2015 4:57 pm

### Re: Sign Restricted VAR

It is not possible to restrict the parameter or the matrix. The sign restriction vector is related the IRF.

SWAR
Posts: 1
Joined: Fri Aug 04, 2017 10:23 am

### Re: Sign Restricted VAR

Dear dakila,

Thank you for posting this. Trying to specify a SVAR with 6 variables, I get the following error message
"6 is not a valid index for vector-series-coefficient SCALES01." Would you be so kind and help me in interpreting/solving this?

Also, is it possible to implement a combination of sign and zero restrictions using your add-in?

Kind regards and many thanks

dakila
Posts: 373
Joined: Tue Nov 24, 2015 4:57 pm

### Re: Sign Restricted VAR

Could you post the working file?

Also, is it possible to implement a combination of sign and zero restrictions using your add-in?

No. It is not possible.

chartwel
Posts: 12
Joined: Tue Mar 02, 2010 5:00 pm

### Re: Sign Restricted VAR

I have a basic and very silly question about interpreting the impulse response graphs that come as the output from the srvar command. When doing a standard VAR, it gives us graphs which explicitly state the effect of endogenous x on y... however, srvar just gives graphs with "impulse response of X." In my data, I am using two variables, one which is a dependent and one which is independent but both are endogenous. Would I interpret the impulse function of Y graph as the effect of an innovation shock in X? And vice versa?

dakila
Posts: 373
Joined: Tue Nov 24, 2015 4:57 pm

### Re: Sign Restricted VAR

No. You cannot interpret like that. First define the shock by the sign restriction, then interpret impulse response function of Y and X as the effect of that shock.

chartwel
Posts: 12
Joined: Tue Mar 02, 2010 5:00 pm

### Re: Sign Restricted VAR

dakila wrote:No. You cannot interpret like that. First define the shock by the sign restriction, then interpret impulse response function of Y and X as the effect of that shock.

That makes perfect sense. Thanks for the clarification, it is all clear now.

mwxhappy
Posts: 3
Joined: Sat Jan 05, 2019 6:20 am

### Re: Sign Restricted VAR

hi,I'd like to ask you a question. What is the difference between the variance decomposition that the option under the srVAR and the VAR variance decompositions in the view menu? What is meaning of the variance decomposition option in the srVAR add-in? Thanks a lot!

mwxhappy
Posts: 3
Joined: Sat Jan 05, 2019 6:20 am

### Re: Sign Restricted VAR

and I also want to the meaning of "Fraction of variance explained for XXX"，when I choose the variance decomposition in the SRVAR window. Is there some relation with variance decomposition in the view menu of simple VAR.

apple564
Posts: 3
Joined: Tue Jun 08, 2010 4:18 pm

### Re: Sign Restricted VAR

I am still struggling to get it correct. I checked the example in the instruction folder. If I run the program, it works fine. However, if I type in the 'rest' vector, it always gives me the error of 'non-numeric'.
Additionally, the sign restrictions entered in the 'rest' vector are only for the monetary policy shock in the paper. However, if I need to assign the signs for two shocks, how could I do it? Do I create matrix?

dakila
Posts: 373
Joined: Tue Nov 24, 2015 4:57 pm

### Re: Sign Restricted VAR

Be specific. For example show me how you type the rest vector. if you need to identify 2 shocks, do it recursively. But it is valid only for the rejection method.