Hello,
I have a similar question.
I have a estimated SVAR and I generate impulse response to a shock on the first variable of my model.
However, I want to generate a specific size for the shock using the structure of my SVAR. How can I do that?
Search found 2 matches
- Fri Jun 17, 2016 8:33 am
- Forum: Estimation
- Topic: Output Problem: User Specified Impulse Responses in SVAR
- Replies: 7
- Views: 8836
- Fri Apr 08, 2016 9:50 am
- Forum: Estimation
- Topic: Setting an SVAR in State Space Form
- Replies: 1
- Views: 3466
Setting an SVAR in State Space Form
Dear all, I have defined a SVAR model in Eviews. The SVAR has 9 variables in this order: FFED, LOG(BAA_T10Y), L_CPI, L_GDP, L_COMMP, L_WGDP, L_REER, YIELD_C, D_HOUSING 3 lags, and one specific structure for the variance-covariance matrix as below: @e1=c(1)*@u1 @e2=c(6)*@u2 @e3=c(9)*@u3+c(10)*@e4+c(1...