Hello,
There are a few small SVAR examples in the documentation, but I can provide a few more here. To answer you're question about @lrrsp, the accumulated impulse responses that data member holds are the theoretical/asymptotic responses, not the responses at the last horizon as shown in the impulse responses view. As a simple demonstration,
Code: Select all
create u 50
series x = 0
series y = 1
smpl 2 50
x = .5 * x(-1) + rnd
y = .8 * y(-1) + .3 * x(-1) + nrnd
var v.ls 1 1 x y
v.impulse(a,imp=unit,se=a)
matrix auto_lrrsp = v.@lrrsp
matrix manual_lrrsp = @inverse(@identity(2) - v.@lagcoef(1))
show auto_lrrsp
show manual_lrrsp
The above code generates a trivial VAR and shows the accumulated impulse responses to unit innovations (for mathematical simplicity), as well as the @lrrsp matrix and a manual calculation of the long-run multiplier, psi. The two matrices should match, and represent the values that the accumulated responses are asymptotically approaching. Examining the response graphs or table, the values at the last horizon should be near those in the matrices though likely not identical.
The same idea holds if you're using EViews' built-in SVAR estimation, were there @lrrsp and @svarfmat matrices represent asymptotic behavior of the accumulated impulse responses. For example,
Code: Select all
create u 50
series x = 0
series y = 1
smpl 2 50
x = .5 * x(-1) + rnd
y = .8 * y(-1) + .3 * x(-1) + nrnd
var v.ls 1 1 x y
v.svar(preset=1)
v.impulse(a,imp=struct,se=a)
matrix lrrsp = v.@lrrsp
matrix fmat = v.@svarfmat
show lrrsp
show fmat
Now, if you what you actually want to capture is the finite (horizon-limited) behavior of the responses as shown in the view window, there are options to copy that data to the workfile. For example,
Code: Select all
create u 50
series x = 0
series y = 1
smpl 2 50
x = .5 * x(-1) + rnd
y = .8 * y(-1) + .3 * x(-1) + nrnd
var v.ls 1 1 x y
v.svar(preset=1)
v.impulse(a,imp=struct,se=a,matbyr=responses)
show responses