can someone help me understand sign restrictions?
i am looking at the code for Uhlig(2005). suppose fed funds is my policy instrument and i want to impose a negative(sign) response on gdpc1 and gdpdef for 6 periods, how is that indicated in the code????
thanks in advance
understanding sign restrictions
Re: understanding sign restrictions
Using the same notation as Uhlig, your KMIN will be 1 and KMAX will be 5. The arguments for UhligAccept will be
if UhligAccept(a,KMIN,KMAX+1,||-position of gdpc1,-position of gdpdef||)==0
goto reject
position of ... means the position in the list of endogenous variables. So if you define you VAR using
SYSTEM(model=mymodel)
variables gdpc1 gdpdef ...
...
your test would be
if UhligAccept(a,KMIN,KMAX+1,||-1,-2||)==0
goto reject
if UhligAccept(a,KMIN,KMAX+1,||-position of gdpc1,-position of gdpdef||)==0
goto reject
position of ... means the position in the list of endogenous variables. So if you define you VAR using
SYSTEM(model=mymodel)
variables gdpc1 gdpdef ...
...
your test would be
if UhligAccept(a,KMIN,KMAX+1,||-1,-2||)==0
goto reject