Using same estimated VAR over different samples.

[macro_man]

Dear Estima:

Let's say I estimate a VAR over period 1960:Q1 to 2007:Q4 and use identifying restrictions to estimate structural shocks over this time. Now I want to take the same estimated model (based on the 1960:Q1 to 2007:Q4 period) and identifying restrictions and use it to identify structural shocks for the 2008:Q1 to 2012:Q4 period. How would you recommend I do this? Thanks in advance.

[TomDoan]

Use FORECAST(STATIC,ERRORS=...) to get the residuals for the model over the second period. Then use @StructResids to transform those to structural residuals.