Rolling impulse-response in a VAR
Posted: 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
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