MCSIGNRESTRICT—Monte Carlo for Sign Restrictions

[TomDoan]

@MCSignRestrict does sign restrictions by Monte Carlo methods as described in Uhlig(2005), by doing outer draws for the VAR coefficients and inner draws for rotations of a factor of the covariance matrix. This builds up the responses in the standard %%RESPONSES array, and you can post-process the output using @MCGraphIRF and similar procedures. Unlike the original Uhlig paper, this allows for identification of multiple shocks. Note, however, that the results for any specific shock may (and generally will) be different when you include it with other shocks since it may be difficult to find a factorization which makes all the shocks meet their restrictions.

Detailed Description