A Small Query Regarding IRF in SVAR

[sanjeev]

Dear Sir

I am running Structural VAR model, followings are my commands

=================================================================================================================================
SYSTEM(MODEL=varmodel)
VARIABLES DomesticM3_2 i5 RBI_Intervn1 GDPIndex ExchangeRate FiscalDeficit Res2Mratio NCF
LAGS 1 TO 3
DET CRISIS OpennessDegree FGDPIndex i_star1
END(SYSTEM)
ESTIMATE

nonlin b21 b24 b25 b35 b38 b42 b45 b52 b53 b54 b58 b62 b64 b74 b75 b78 b81 b82 b83 b84 b85 b86 b87

dec frml[rect] afrml
frml afrml = ||1.0,0.0,0.0,0.0,0.0,0.0,0.0,0.0|$
-b21,1.0,0.0,-b24,-b25,0.0,0.0,0.0|$
0.0,0.0,1.0,0.0,-b35,0.0,0.0,-b38|$
0.0,-b42,0.0,1.0,-b45,0.0,0.0,0.0|$
0.0,-b52,-b53,-b54,1.0,0.0,0.0,-b58|$
0.0,-b62,0.0,-b64,0.0,1.0,0.0,0.0|$
0.0,0.0,0.0,-b74,-b75,0.0,1.0,-b78|$
-b81,-b82,-b83,-b84,-b85,-b86,-b87,1.0||

com b21=b24=b25=b35=0.0001, b38=b42=b45=0.0003, b52=b53=b54=b58=b62=0.004,b64=b74=b75=b78=0.0005, b81=b82=b83=b84=0.0006, b85=b86=b87=0.0008
cvmodel(a=afrml,method=bfgs,factor=n,iters=100) %sigma
@varirf(model=varmodel,steps=12,page=byvariable)
=============================================================================================================================
My query is regarding command for IRF. Actually I want to derive impulse response of variable 'NCF' when is shock in other variables. I want each response separately on each page instead on same page.

For example; I want

Response of 'NCF' due to shock in 'DomesticM3_2' on one page; response of 'NCF' due to shock in 'i5' on another page; response of 'NCF' due to shock in 'RBI_Intervn1' in some other page and so on.

Can you please tell me how to change the command "@varirf(model=varmodel,steps=12,page=byvariable" to achieve what I want?

Thanks and Regards

[TomDoan]

@VARIRF (and various other procedures like @MCGRAPHIRF) aren't designed to generate any type of set of graphs a user might want. PAGE=ONE will do one shock/variable combination per page, but will generate 64 graphs in this case. If you don't want to do that and just ignore the 56 graphs you don't want, then you will have to do an IMPULSE instruction and do the GRAPH instructions that you want.

Note well that with a structural VAR, the shocks aren't associated 1-1 with variables.

[sanjeev]

Thank you Sir

I know with command page=one, I will get 64 graphs each on separate page. However, graphs comes without labelling; hence it is difficult to determine which is the shock variable and which is the response variable. Can you please tell me how to do an IMPULSE instruction and do the GRAPH instructions so that I can get what I want?

Regards

[TomDoan]

We added an INCLUDE option to @VARIRF and it now adds a header to the PAGE=ONE graphs.

[sanjeev]

Dear Sir


As per your suggestion, I applied following command "@varirf(model=varmodel,steps=12,page=one,include=||8||)" to get response of "NCF" at each separate page.

But I am getting this message:
## OP3. This Instruction Does Not Have An Option INC
>>>>2,page=one,include=<<<<

Please help!! Please check whether the commands are appropriate for my objective.

Thanks and Regards

[TomDoan]

You have to install the newer version of VARIRF.