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Re: Uhlig JME 2005 Sign-Restricted IRF's for VAR
Posted: Wed Feb 10, 2016 1:05 pm
by TomDoan
Aren't they going to look the same other than scale? 72 virtually identical graphs will look rather uninteresting no matter how you arrange them. You can't combine them on a single graph or they'll just smear together. Maybe just graph a few representatives.
Re: Uhlig JME 2005 Sign-Restricted IRF's for VAR
Posted: Tue Feb 16, 2016 10:40 pm
by RK2509
Hi Tom,
Is this correct?
Code: Select all
dec rect[series] Z(N,1)
do i=1,N
set Z(i,1) = lambda(i,1)*goodresp(t)(k,3)
end do i
Thanks a ton for all your help.
Kind Regards
Re: Uhlig JME 2005 Sign-Restricted IRF's for VAR
Posted: Tue Feb 16, 2016 10:42 pm
by RK2509
I know they'll pretty much look the same. But that would always be the case when we try to analyse the shock on 72 food prices through the latent factor lambda. I would perhaps go with a few graphs as you advised.
Re: Uhlig JME 2005 Sign-Restricted IRF's for VAR
Posted: Thu Feb 02, 2017 7:07 pm
by umee
Would it be incorrect to try to interpret Uhilg's shock in terms of the federal funds rate? In other words, how does shock generated by sign restriction compare to a 50 basis point fed funds shock?
Re: Uhlig JME 2005 Sign-Restricted IRF's for VAR
Posted: Fri Feb 03, 2017 9:56 am
by TomDoan
I guess you could do that. However, note that the "size" of a shock in the Uhlig procedure is determined by it being an impulse vector (column out of a factorization of the covariance matrix) and not any specific impact on any variable.
Re: Uhlig JME 2005 Sign-Restricted IRF's for VAR
Posted: Fri Feb 03, 2017 3:47 pm
by umee
One follow up, which is not necessarily related to code. What would be the implication of Uhlig remaining agnostic about the price level (GDP deflator) as well?
Re: Uhlig JME 2005 Sign-Restricted IRF's for VAR
Posted: Sat Feb 04, 2017 7:26 am
by TomDoan
If you're talking about multiple shocks, have you looked at Mountford and Uhlig?
Re: Uhlig JME 2005 Sign-Restricted IRF's for VAR
Posted: Sat Feb 04, 2017 1:42 pm
by umee
Not multiple shocks, less restrictions. Being agnostic about output and the price level.
Re: Uhlig JME 2005 Sign-Restricted IRF's for VAR
Posted: Sun Feb 05, 2017 9:14 am
by TomDoan
Fewer restrictions? Then you might end up with a smear of very different shocks. There's a fine line between having enough restrictions to actually "identify" the desired behavior and so many that no shocks actually satisfy them.
Re: Uhlig JME 2005 Sign-Restricted IRF's for VAR
Posted: Sun Apr 16, 2017 5:28 pm
by umee
In regards to code you posted for Uhlig 2005, is the behavior of the federal funds rate in the impulse vector consistent with a 50 basis point federal funds rate shock under recursive estimation?
In other words, if I want to compare the results generated by this code to results from the recursive approach. Can I make straight forward comparisons? Would the one standard deviation shock to the impulse vector coincide with a 50 basis point increase in the federal funds rate?
Re: Uhlig JME 2005 Sign-Restricted IRF's for VAR
Posted: Sun Apr 16, 2017 10:08 pm
by TomDoan
Didn't you already
ask that?
Re: Uhlig JME 2005 Sign-Restricted IRF's for VAR
Posted: Mon Apr 17, 2017 11:43 am
by umee
Sort of, but is it not possible to make sure that the federal fund rate change is consistent across both methods?
Re: Uhlig JME 2005 Sign-Restricted IRF's for VAR
Posted: Mon Apr 17, 2017 11:53 am
by TomDoan
It's a sign restriction, not a size restriction. Although you can generate a sign-restricted impulse vector and then scale it to have a specific impact, that completely alters the probability. For instance, if you have an accepted impulse vector with a .05 impact on the FFR and you scale it up to .50, you're now taking a 10 standard deviation shock which should have probability effectively zero.
Re: Uhlig JME 2005 Sign-Restricted IRF's for VAR
Posted: Fri Sep 07, 2018 9:09 pm
by tasnim223
Dear Tom,
I have bit of confusion in Uhligh1.rpf.
First , if I want to give shock to the real GDP , that is the first variable, do I make the following changes,
*****
if atest(1)<0
compute a=-1.0*a
******
also if I want to want to give it a negative shock , do I change the following things;
*******
if atest(1)<0
compute a=1.0*a
*********
Many thanks
Rosen
Re: Uhlig JME 2005 Sign-Restricted IRF's for VAR
Posted: Mon Sep 10, 2018 8:11 am
by TomDoan
I'm not sure what you mean by "give a shock to real GDP". That's not how sign restrictions work.