Different results from different graph commands
Posted: Sat Apr 23, 2016 3:26 am
I am working on a basic recursive VAR with standard specification. When I generate impulse responses with the command 'montevar', I get a different set of impulse responses than when I generate impulse responses using 'mcgraphirf'. For example, using the specification - npa lp y d p comm_e int_rate sp , I find that responses which were significant under 'montevar' became insignificant under'mcgraphirf''. Secondly,since this is recursive VAR, npa should not contemporaneously respond to lp shock but other variables which follow lp should respond contemporaneously to lp shock. But I find that these variables impact response is zero when i use 'montevar'. How do I make my results consistent? The graphs and data are attached. The code is given below
Code: Select all
[/OPEN DATA "E:\phd\research\RATS\bubble_basic.xls"
CALENDAR(Q) 1984:4
DATA(FORMAT=XLS,ORG=COLUMNS,SHEET="Sheet2") 1984:04 2008:02 y d p lp sp hp m2 comm_e comm_ne int_rate lp_nd $
lp_nb nltl npa nltl_1 nltl_exp
system(model=varmodel)
variables npa lp y d p comm_e int_rate sp
lags 1
det constant
end(system)
estimate
@VARLagSelect(lags=12, crit=aic)
# y d p comm_e nltl_1 lp int_rate sp
@VARLagSelect(lags=12, crit=sbc)
# y d p comm_e nltl_1 lp int_rate sp
*@VARIRF(model=varmodel,steps=15,page=byshocks)
*@montevar(draws=10000, model=varmodel)
source mcvardodrawsunit.src
@MCVARDoDraws(model=varmodel,draws=1000,steps=10)
@mcgraphirf(model=varmodel,center=median,percent=||.025,.975||,$
shocks=||"NPA","LP","GDP","Dividends","Inflation","Commod.prices","int_rate","Share Prices"||,$
footer="95% Monte Carlo bands",page=byshocks)]