Re: [Gretl-users] SVAR bootstrap output table etc.
On Thu, 4 Aug 2016, Jay Ryu wrote:
Thank you for your expert advice!It worked but there is still one
question...
The results differ from what my coauthor obtained from RATS/GAUSS. What
we did was solving non-linear equations rendered by imposing short and
long-run restrictions simultaneously. We computed the reduced form VAR
and its covariance matrix. Then, we computed and combined the short-run
restriction (contemporaneous) matrix and long-run restriction matrices
in the Structural Moving Average presentation. Then, the two combined
matrices were compared with the covariance matrix to estimate needed
coefficients. This part of solving multiple non-linear equations was
done by GAUSS. gretl solutions look great but the C matrix results imply
as if short-run restrictions are just superimposed onto the long-run
restrictions, leaving the C matrix in your syntax. I was wondering if
the gretl syntax does the above process of solving non-linear
equations.Thank you again,Jay
The approach in the SVAR package is essentially the same as the one
thouroghly explained in Amisano-Giannini (1997). I tried to give a quick
outline in section 4.1 of the pdf help to SVAR. Basically, all constraints
(short- and long-run) are expressed together as a system of equations
R vec(C) = d
where each row of R is a restriction. Short-run restrictions are just
restrictions on the elements of C, so typically the corresponding row of R
is a selection vector (all zeros and one 1). Long-run restrictions are
expressed by putting selected elements of the long-run matrix $\Theta(1)$
into the appropriate places of the corresponding row of the matrix R. This
is asymptotically justifiable as long as the information matrix is
block-diagonal between the mean and the variance parameters.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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