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Error Bands for IRF with Short and Long-Run Restrictions
Posted: Wed Apr 08, 2015 2:17 pm
by TomDoan
This is an example of calculation of error bands for a structural VAR identified by short- and long-run restrictions. This is an example from the
2nd edition of the VAR e-course which describes its workings in detail. This is considerably simpler that the
Bjornland-Leitemo example, and so is a better choice as the base program for adapting to a different model. It's an example out of
Martin, Hurn and Harris, based upon a paper by Peersman.
Note that this requires RATS v9.
- var_6_3.rpf
- Program file
- (2.41 KiB) Downloaded 1136 times
Re: Error Bands for IRF with Short and Long-Run Restrictions
Posted: Mon Oct 03, 2016 9:16 am
by sebaschoo
Hi Tom,
I'm using your program in order to estimate a structural VAR with seven variables but I would like to modify the magnitude of the shocks (I mean: setting for example a 2 standard deviation shock). Can you help with this issue?
Thank you!
Re: Error Bands for IRF with Short and Long-Run Restrictions
Posted: Mon Oct 03, 2016 10:03 am
by TomDoan
I'm not sure what the point of that is. The IRF's for double the shock are double the IRF's for a single shock. You can adjust the FLongShort procedure to multiply the factor by two, but I would suggest not doing that.
Re: Error Bands for IRF with Short and Long-Run Restrictions
Posted: Wed Apr 19, 2017 12:09 pm
by pfb382
Hi Tom,
In the above given code to peersman: What does this line mean:
and why the 1979:5? What does this specific observation do?
Re: Error Bands for IRF with Short and Long-Run Restrictions
Posted: Wed Apr 19, 2017 12:18 pm
by TomDoan
That means 1979:5 to the last possible entry (given the data).
This is an example out of Martin, Hurn and Harris. That's what they did and I think they copied that from Peersman's original article. If it's important, you would have to check that.