How to estimate the coefficients of the MA representation of an SVAR?

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Isaac Lara
Posts: 1
Joined: Mon May 17, 2021 11:45 am

How to estimate the coefficients of the MA representation of an SVAR?

Postby Isaac Lara » Wed Jul 07, 2021 1:43 pm

I estimated a VAR model with 4 variables in reduced form and imposed long-run restrictions to obtain the structural estimation. So let me write the moving average representation of the structural model as follows (I am using LaTeX notation):

X_t=c_0\epsilon_{t}+c_1\epsilon_{t-1}+c_2\epsilon_{t-2}+…

where X_t is a vector of 4 stationary series, and epsilon_{t} is a vector of 4 structural shocks.

I want to obtain the estimate of the effect of the first structural shock on the second variable two periods into the future, i.e., \hat{c}_{2_{2,1}}. Can someone please tell me if I did it correctly? My procedure is the following (I am using EViews 12):
I select “Impulse” on the menu, then I choose the next options:
-Impulses: 1 (for the first structural shock)
-Responses: the name of the second variable
-Response standard errors: Method: None
-Horizon length: 10
-I am leaving the accumulate responses checkbox unmarked.
-Descomposition method: Structural Decomposition
Then I click “OK” and the third value of the responses should be the estimate I am looking for, am I right?

Any help will be very appreciated! :mrgreen:

EViews Matt
EViews Developer
Posts: 560
Joined: Thu Apr 25, 2013 7:48 pm

Re: How to estimate the coefficients of the MA representation of an SVAR?

Postby EViews Matt » Wed Jul 07, 2021 3:58 pm

Hello,

I believe you're correct.


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