Sign Restricted VAR

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Pmat
Posts: 1
Joined: Wed Jul 31, 2019 3:15 pm

Re: Sign Restricted VAR

chartwel wrote:
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.

I am sorry if I’m also being silly, but I have the same question and I did not understand the answer. For example, in a 3 variable VAR if you set +3 as a constraint, what exactly are you constraining? I think you are constraining the RESPONSE of the third variable to be positive. But the response to what shock?? If, let’s say, I want to constrain the response of the THIRD variable to a shock on the SECOND variable to be positive, how do I use the addin to perform this? Again, sorry if this is a silly question, but I’ve read the instructions and it is not clear to me. Thank you very much.

gvera
Posts: 1
Joined: Mon Mar 02, 2020 6:48 am

Re: Sign Restricted VAR

How do I write a zero restriction in the command line of srvar? Thank you.

dakila
Posts: 479
Joined: Tue Nov 24, 2015 4:57 pm

Re: Sign Restricted VAR

For example:

Code: Select all

`srvar(method=0, zvar=gdpc1) 12 rest @ gdpc1 gdpdef cprindex fedfunds bognonbr totresns`

Est123
Posts: 1
Joined: Sat Feb 04, 2023 1:51 am

Re: Sign Restricted VAR

Hello!

Is it possible to use the srvar add-in with panel data?

dakila
Posts: 479
Joined: Tue Nov 24, 2015 4:57 pm

Re: Sign Restricted VAR

No

atbarbar
Posts: 4
Joined: Thu Aug 24, 2017 8:58 am

Re: Sign Restricted VAR

Unfortunately the documentation just does not help to understand how to place constraints on multiple variables. A concrete example. I have a simple 2 variables VAR with two endogenous variables, y1 and y2 with respective shocks e1 and e2. I want the impulse response of y1 to a shock from e1 to be positive. I want the impulse response of y1 to a shock from e2 to be positive. I want the response of y2 to a shock from e1 to be negative and the response of y2 to a shock from e2 to be positive. Question:
1) Can I do it with srvar?
2) If I can, show me the vector necessary to implement that
3) Irrespective of whether I can do it or not with srvar, more in general how can I get the historical decomposition of a sign restricted var estimated with srvar? The output from srvar stores a VAR object but that is the simple unconstrained reduced form so the historical decomposition with that object is not what I want.

Thanks.

dakila
Posts: 479
Joined: Tue Nov 24, 2015 4:57 pm

Re: Sign Restricted VAR

You can't identify multiple shocks for the srvar add-in.

atbarbar
Posts: 4
Joined: Thu Aug 24, 2017 8:58 am

Re: Sign Restricted VAR

Can you identify multiple shocks with the ARW addin?

dakila
Posts: 479
Joined: Tue Nov 24, 2015 4:57 pm

No.