I would like to include an identity into my SVAR to link the variables in the system. (Basically, I wish that the variables in the SVAR system satisfy a simple fiscal budget constraint).
I would proceed as follows: estimate my SVAR in e-views, create a model (via proc/make model) and introduce the identity equation as @identity x= ... (enter equation) after selecting the [text] button in the model window. Last step would be to compute impulse response functions yourself. (Details are given in the paper below for the curious user, page 5)
However, could somebody perhaps tell me if the following is still the case and possibly how you can change it. (I am using currently EViews9). Much obliged!
May I pursue on another SVAR-related issue: it appears that neither the "system" nor the "model" created from Proc/Make System or Proc/Make Model after the structural factorisation actually takes that factorisation into account: what is produced appears to be just the standard VAR. Is this correct? If so, would it be possible to change the procedure to obtain the factorised model? (E-views 7 user)
Kind regards,Yes, that is correct, it is not easy for us to change it. (written by EViews Gareth)
msj
PS
I am trying to conduct an analysis following Favero & Giavazzi (Debt and the effects of fiscal policy, 2008)