Rolling impulse-response in a VAR

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ebucacos
Posts: 1
Joined: Tue Oct 05, 2021 1:15 pm

Rolling impulse-response in a VAR

Postby ebucacos » Wed Oct 06, 2021 9:45 am

Greetings.

I have a problem when performing impulse-response analysis in a rolling VAR.
Specifically, it sends me a message pointing out that the matrix of responses is already defined when 1 observation is added to the sample and then it stops.

My programme is

series(197,1) resinf

for !i=48 to 197 'I define loop - 150 replications

smpl @first @first+!i

var var1.ls 1 2 x y z 'I run the VAR with a growing sample

var1.impulse(3, m,imp=chol, matbys=answers) z 'I run FIR with a growing sample

resinf(!i)=answers(3,3) ' I save response of interest

next


In the second round, I recieve the following message:

ANSWERS already exists in "VAR1.IMPULSE(3, M,IMP=CHOL, MATBYS=ANSWERS) z" on line 11.

Can anyone help me with this?
Thanks

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13305
Joined: Tue Sep 16, 2008 5:38 pm

Re: Rolling impulse-response in a VAR

Postby EViews Gareth » Wed Oct 06, 2021 10:18 am

Delete it after retrieving the information from it.
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