Re: [Gretl-users] SVAR coefficients
Dear Sven,
Thanks for your timely answer! I guess you understood right. But let me try
to be more precise.
I want to check the effects of a shock within the VAR by restricting the
x_1 variable to not move. This is because I want to see if the remaining
variables continue to react in the same way. But to this end, I think (not
sure) that I have to set the coefficients of x_1 in ALL the other equations
equal to 0. In other words, I am trying to figure out the transmission
mechanism of the underlying shock, so I have to switch off the x_1 channel.
So I want not only the IRF of x_1 to be zero, but I also want that the
other IRFs to not consider the reaction of x_1.
I there a way to do that using the SVAR function?
2013/6/4 Sven Schreiber <svetosch(a)gmx.net>
Am 04.06.2013 15:55, schrieb Gabriela Nodari:
> Dear gretl users,
>
> I was wondering whether it is possible to restrict the coefficients of
> the estimated structural VAR EX-POST (the estimation).
>
> In practice, I am trying to do a counterfactual analysis and I want to
> compare IRFs, by restricting one variable to not respond to an
> underlying shock at ALL horizons.
>
> Suggestions?
>
If I understand correctly what you mean, if your non-responding variable
is x_1, then you need to throw out all other variables in the x_1
equation. Plus the contemporaneous restriction. Only then will the IRF
be identically zero. That's not ex post, however, but "simply"
restricted estimation.
cheers,
sven
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