Estimating a proxy svar

[akoh]

Hi Eviews community,

I refer to the new function introduced in stata which has an external instrument for estimating svars.
https://www.stata.com/manuals/tsvarivsvar.pdf

tsvarivsvar.pdf

stata's document for ivsvar

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I seek advice on two things please

1) Replicating the standard errors shown on page 7 of the stata document for the given impact matrix coefficient as I do not know how to do so. I am only able to replicate the impact matrix coefficients currently.

2) Replicating the IRF shown on page 8 of STATA's document as my generated IRF looks off on the y-axis compared to STATA's.

I have the workfile enclosed and the stata program

replicate ivsvar.wf1

workfile to replicate stata's ivsvar

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replicate ivsvar.prg

program to replicate stata's ivsvar

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Seek the community's advice on what I am doing wrongly so i tweak my code please.

Thanks much,
Koh

[akoh]

hello, any help please? thanks much! this will be useful for all users as it helps to establish causality