8:59 p.m.
Dear all. Its there a way to estimate bayesian VARs with sign restrictions in GRETL?
Thanks in advance for any help. Best regards, Arturo.
2:29 a.m.
On Fri, 26 Aug 2022, ajgalindo(a)gmail.com wrote:
Dear all. Its there a way to estimate bayesian VARs with sign
restrictions in GRETL? Thanks in advance for any help. Best regards,
Arturo.
Yes. It's in the SVAR addon. See secion 8 of the pdf doc.
-------------------------------------------------------
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
-------------------------------------------------------
2:38 a.m.
Am 26.08.2022 08:29 schrieb Riccardo (Jack) Lucchetti:
On Fri, 26 Aug 2022, ajgalindo(a)gmail.com wrote:
> Dear all. Its there a way to estimate bayesian VARs with sign
> restrictions in GRETL? Thanks in advance for any help. Best regards,
> Arturo.
Yes. It's in the SVAR addon. See secion 8 of the pdf doc.
...which can be found here online:
https://sourceforge.net/projects/gretl/files/addons/doc/SVAR.pdf
Best,
Artur
4:20 a.m.
Am 26.08.2022 um 08:29 schrieb Riccardo (Jack) Lucchetti:
On Fri, 26 Aug 2022, ajgalindo(a)gmail.com wrote:
> Dear all. Its there a way to estimate bayesian VARs with sign
> restrictions in GRETL? Thanks in advance for any help. Best regards,
> Arturo.
Yes. It's in the SVAR addon. See secion 8 of the pdf doc.
Let me add to that that currently the VAR itself (the reduced form, so
basically the autoregressive coefficients) cannot be estimated with
actual shrinkage in the SVAR addon. (No real Bayesian prior imposed on
those coefficients there.) That doesn't have to be a problem, I just
want to make it transparent.
Some tools to estimate BVARs (in the reduced-form sense, not structural)
are in the works by some members of the gretl team, but my guess is that
it won't happen before the winter (in the Northern Hemisphere).
cheers
sven
9:03 a.m.
Thanks a lot Artur and Sven. This was very helpful. Another question, I saw
in the documentation that the possibility of combining sign restrictions
and zero restrictions on the C matrix is still in the works. Is there a way
to work around this while a new version of the SVAR addon comes out?
Again thanks!
On Fri, Aug 26, 2022 at 4:20 AM Sven Schreiber <sven.schreiber(a)fu-berlin.de>
wrote:
Am 26.08.2022 um 08:29 schrieb Riccardo (Jack) Lucchetti:
On Fri, 26 Aug 2022, ajgalindo(a)gmail.com wrote:
Dear all. Its there a way to estimate bayesian VARs with sign restrictions
in GRETL? Thanks in advance for any help. Best regards, Arturo.
Yes. It's in the SVAR addon. See secion 8 of the pdf doc.
Let me add to that that currently the VAR itself (the reduced form, so
basically the autoregressive coefficients) cannot be estimated with actual
shrinkage in the SVAR addon. (No real Bayesian prior imposed on those
coefficients there.) That doesn't have to be a problem, I just want to make
it transparent.
Some tools to estimate BVARs (in the reduced-form sense, not structural)
are in the works by some members of the gretl team, but my guess is that it
won't happen before the winter (in the Northern Hemisphere).
cheers
sven
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9:05 a.m.
Am 26.08.2022 um 15:03 schrieb Arturo José Galindo:
Thanks a lot Artur and Sven. This was very helpful. Another question,
I saw in the documentation that the possibility of combining sign
restrictions and zero restrictions on the C matrix is still in the
works. Is there a way to work around this while a new version of the
SVAR addon comes out?
Again thanks!
In short, not really. One workaround that might come to mind is to
approximate an exact zero restriction with a small set around zero, but
this would have a huge computational cost, because you would be drawing
gazillions of rotations that will be rejected. Also it would be
difficult to justify the workaround to the audience.
Another theoretical option might in principle be applicable if, say, the
first shock is exactly identified. For example there are quite many
applications where the first shock is identical to the first
reduced-form error. Then it might be possible to consider only the
orthogonal subspace, projecting off that first shock, and somehow
continue from there. But the SVAR addon isn't set up for that, and so
it's not clear to me (even though I'm a co-author of that addon) how the
existing functions could be recycled to achieve something like that.
In any case, the more demand is for the feature, the more likely it is
that eventually the work will proceed.
cheers
sven
767
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5 comments
5 participants
participants (5)
-
ajgalindo＠gmail.com -
Arturo José Galindo
-
atecon -
Riccardo (Jack) Lucchetti -
Sven Schreiber