Re: [Gretl-users] VARs: Historical FEVD and restrictions

On Fri, 13 Feb 2015, Gabriela Nodari wrote: Not at the moment, but addinbg this to the SVAR package has been on my to-do list for a long time. I'll see what I can do in the next few days. If I understand correctly what you want to do, the SVAR package should make your job relatively painless: I'm attaching an example which uses the AWM dataset to set up a NK 3-equation model and estimate it under an identification strategy like the one you describe. For more details, see the SVAR documentation. <hansl> # load the SVAR package include SVAR.gfn # use the classic ECB data set open AWM.gdt --quiet genr time genr dummy # set up the data for the New Keynesian 3-eq model series y = 100 * hpfilt(ln(YER)) series u = 100 * URX series p = 100 * sdiff(ln(HICP)) list X = y u p list exo = const time dq1 dq2 dq3 # find the VAR order via HQC var 8 X ; exo --lagselect scalar bestlag = iminc($test[,3]) # set up the model Mod = SVAR_setup("C", X, exo, bestlag) Mod["horizon"] = 40 #set up recursive restrictions SVAR_restrict(&Mod, "C", 1, 2, 0) SVAR_restrict(&Mod, "C", 1, 3, 0) SVAR_restrict(&Mod, "C", 2, 3, 0) #now add two extra restrictions SVAR_restrict(&Mod, "C", 3, 1, 0) SVAR_restrict(&Mod, "C", 3, 2, 0) # estimate the restricted model SVAR_estimate(&Mod) </hansl> ------------------------------------------------------- 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 -------------------------------------------------------