VAR help!!

[parulb]

Hi,

I am using SVAR and to undertake one short exercise, I need to change few coefficients of my VAR output to zero and then run the SVAR again. However, I am getting the same SVAR output as the baseline every time. My main aim is to compare the baseline IRFs with the constrained IRF (wherein some coefficients of VAR output have been set to zero). Pls advise what to do? Many thanks for your help!! Parul

[trubador]

Choose the "Structural Decomposition" option in the Impulse->Impulse Definition tab.

[parulb]

Thanks Trubador for your reply. My question was how to change coefficients in the VAR output which we get? I need to compare the constrained IRF with baseline IRFs. Thanks

[trubador]

You cannot change the coefficient of a VAR directly. If you are referring to identifying restrictions, that is called Structural VAR and you should do as I said before. Otherwise, you'll need to estimate a SUR system, which in that case you will loose the functionality of built-in IRF.