Re: [Gretl-users] SVAR coefficients
Am 04.06.2013 16:20, schrieb Gabriela Nodari:
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.
Well, if a system variable is not endogenously responding, we typically
call it exogenous instead. To me it seems that that's what you
(implicitly) want to do: create a scenario where x_1 is treated as
exogenous.
My first suggestion was to implement that by changing the x_1 equation
to a univariate equation only including lagged values of x_1. But if you
say "x_1 shouldn't change" that would probably not be the correct
implementation: Instead you would replace the x_1 equation by some
totally pre-specified scenario path, presumably a constant value. (If
you don't do actual forecasting but just IRFs, then I guess you don't
really have to specify these paths.)
I'm not up to date on the capabilities of the SVAR package,
unfortunately -- wait, I'm actually curious myself, so I'll check the
docs... and in the help file it says that that you can specify a list of
exogenous variables, so it seems you should be alright.
hth,
sven