7:56 a.m.
Dear Profs,
Could you please direct me to how to retrieve the IRF and FEVD after
SVAR/SVECM estimation?
I really appreciate any help you can provide.
Timmy.
4:45 p.m.
On Wed, Apr 22, 2026 at 3:56 AM Olasehinde Timmy <timmexdareal(a)gmail.com> wrote:
Dear Profs,
Could you please direct me to how to retrieve the IRF and FEVD after SVAR/SVECM
estimation?
I really appreciate any help you can provide.
Please look at the Function reference item under the Help menu. You
want the functions irf() and fevd().
Allin Cottrell
11:02 a.m.
Am 22.04.2026 um 18:45 schrieb Cottrell, Allin:
On Wed, Apr 22, 2026 at 3:56 AM Olasehinde Timmy
<timmexdareal(a)gmail.com> wrote:
> Dear Profs,
> Could you please direct me to how to retrieve the IRF and FEVD after SVAR/SVECM
estimation?
> I really appreciate any help you can provide.
Please look at the Function reference item under the Help menu. You
want the functions irf() and fevd().
Or specifically for the SVAR addon (which also covers the SVECM case),
see Appendix D in its help doc, together with section 2.2.
cheers
sven
4:49 p.m.
Thank you for your responses. I attempted the suggested approach, but it
does not seem to work. Specifically, I used the command:
matrix b = irf(0,0,bundle1)
where the estimated SVEC model is stored as *bundle1*. It appears I may be
missing a step or misunderstanding the procedure. I would appreciate
further clarification.
Thank you.
On Thu, 23 Apr 2026 at 12:11, Sven Schreiber <sven.schreiber(a)fu-berlin.de>
wrote:
Am 22.04.2026 um 18:45 schrieb Cottrell, Allin:
> On Wed, Apr 22, 2026 at 3:56 AM Olasehinde Timmy <timmexdareal(a)gmail.com>
wrote:
>> Dear Profs,
>> Could you please direct me to how to retrieve the IRF and FEVD after
SVAR/SVECM estimation?
>> I really appreciate any help you can provide.
> Please look at the Function reference item under the Help menu. You
> want the functions irf() and fevd().
>
Or specifically for the SVAR addon (which also covers the SVECM case),
see Appendix D in its help doc, together with section 2.2.
cheers
sven
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6:14 p.m.
Am 23.04.2026 um 18:49 schrieb Olasehinde Timmy:
Thank you for your responses. I attempted the suggested approach, but
it does not seem to work. Specifically, I used the command:
|matrix b = irf(0,0,bundle1)|
where the estimated SVEC model is stored as /bundle1/. It appears I
may be missing a step or misunderstanding the procedure. I would
appreciate further clarification.
The native irf() function (with underlying internal C code) only applies
to the fully built-in gretl commands "var" or "vecm". It is
understandable that the dual offerings of fully-native var/vecm commands
and official but hansl-scripting-based add-on "SVAR" is still a bit
confusing.
(BTW, the irf() function takes an optional bundle in the fourth
position, not in the third, as duly documented in the function reference.)
For a bundle coming from an estimation with the SVAR addon, you need to
access a bundle _member_, not invoke a function on it, because the irfs
are already computed. Something like:
matrix b = bundle1.IRFs
where "IRFs" is the name that must be used exactly. Section 2.2 of the
SVAR help describes how that matrix is structured, if you want to access
certain shocks or targets or horizons. Notice that if you "just" want to
produce a plot of an irf, you can use the SVAR functions "IRFplot" or
"IRFsave", without having to meddle directly with that matrix.
cheers
sven
49
days inactive
50
days old
4 comments
3 participants
participants (3)
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Cottrell, Allin -
Olasehinde Timmy -
Sven Schreiber