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Hello,

I am trying to run a rolling bi-variate VAR regression as in Blanchard and Gali (2008): The Macroeconomic Effects Of Oil Price Shocks: Why Are The 2000s So Different From The 1970s?

I would like to obtain the graph of Impulse Response Functions in particular the effect of shocks oil prices on the real effective exchange rate as they evolve and I came up with the following code. However each time I run the code I get an error message that "ROLLIN is not defined in freeze (roliin) var.impulse(12, se=a) op @ cexr @ op cexr ". I would like help in this regard.

' =====================================================================
' SETUP
' =====================================================================

wfcreate(wf=r:\wts\mywork\period\period10) q 1975q1 2010q4 ' creates new WF
read(b2,s=rollreg) r:\wts\mywork\period\data.xls can_reec oilp_wti can_ngdp nor_reec nor_ngdp ' imports data from XLS

scalar window = 124 ' for 5 year data

genr l_oilp = log(oilp_wti) 'log of oil prices
genr oilp = d (l_oilp) 'log difference of oil prices


' =====================================================================
' CANADA
' =====================================================================

genr l_can_reec = log(can_reec) 'log of real effective exchange rate
genr cexr = d (l_can_reec) 'log difference of real effective exchange rate

genr l_can_ngdp = log(can_ngdp) 'log of Canandian Gross Domestic Product
genr cy = d (l_can_ngdp) 'log difference of Candian output

for !i = 1 to window

smpl 1975q1+!i 1979q4+!i

series op = oilp ' specification for OIL
series cexr = can_reec ' specification for EXCHANGE RATE

' VAR estimation
' -----------------------
var var.ls 1 2 op cexr
freeze (roliin) var.impulse(12, se=a) op @ cexr @ op cexr
var.makeresids error_op error_cexr

''VAR diagnostics
' ------------------------
freeze(Q_CAN_{!i}) var.qstats(8) ' a test for serial correlation
freeze(JB_CAN_{!i}) var.jbera(factor=chol) ' a test for normality
freeze(W_CAN_{!i}) var.white ' a test for heteroskedasticity

next

should be (i.e. remove the space between the freeze command and the parenthesis.)

Thanks Gareth it worked but came back with another error "ROLLIN already exists in freeze(rollin) var.impulse(12, se=a) op @ cexr @ op cexr"

That's somewhat self explanatory - you're trying to create an object called "Roliin", but there's already an object called that. You can use the mode=overwrite option of the freeze command to overwrite the existing object:

Thanks Gareth :D