Fry and Pagan (2011)

[KOBE24]

Dear Tom,

I am trying to apply Fry and Pagan (2011) criterion to a system in which I identify 3 shocks (demand, supply, monetary policy).
Before I start trying to write my own code, I would like to know if you have some suggestion or recommendation.

Thanks in advance for answering.

[TomDoan]

I'm not really convinced about the value of the idea. Note that all the code that we have done with sign restrictions computes error decompositions and historical decompositions using consistent sets of shocks. The whole idea is to get a range of possible values; not a single one.

[KOBE24]

Dear Tom,

I see your point. But, apparently, no paper written using sign restrictions can be carefully evaluated by a referee without
performing such robustness criterion...

[TomDoan]

Dear Tom,

I see your point. But, apparently, no paper written using sign restrictions can be carefully evaluated by a referee without
performing such robustness criterion...

An example is posted at http://www.estima.com/forum/viewtopic.php?f=8&t=1941