Sign restriction - Historical Decomposition

[TomDoan]

if UhligAccept(a,KMIN,KMAX+1,||+5,-1,-3,-4||)==0

If I'm reading your model correctly, you have a restriction with one interest rate going up (+5) and one down (-3) for five consecutive periods. That sounds like it would be hard to achieve.

[cordura]

Dear Tom,

I am working on an empirical study using sign restriction, identifying multiple shocks. I am wondering if there are any possibilities that RATS can realize the plotting of structural innovation of each shocks?

cheers

[TomDoan]

Dear Tom,

I am working on an empirical study using sign restriction, identifying multiple shocks. I am wondering if there are any possibilities that RATS can realize the plotting of structural innovation of each shocks?

cheers

Sure. That's much simpler than the historical decomposition. For an accepted draw using weights A, you just take a series formed by TR(A)*INV(SWISH)*XT(U,T). Whether that will be particularly interesting is another matter---I'm guessing that the bands across draws will be quite wide.

[luching]

Hi Tom, I have a VAR with 2 variables only. In this system, is it possible to impose two sets of sign restrictions to identify two different structural shocks simultaneously and also impose that the two shocks are orthogonal? Doesn't this result in some sort of singularity problem?

[TomDoan]

Hi Tom, I have a VAR with 2 variables only. In this system, is it possible to impose two sets of sign restrictions to identify two different structural shocks simultaneously and also impose that the two shocks are orthogonal? Doesn't this result in some sort of singularity problem?

Almost. Once you've picked one shock, the other is forced by the orthogonality constraint. However, you can still reject the pair of shocks if they don't meet a set of desired restrictions.