Am 04.06.2013 15:55, schrieb Gabriela Nodari: > Dear gretl users, > > I was wondering whether it is possible to restrict the coefficients of > the estimated structural VAR EX-POST (the estimation). > > In practice, I am trying to do a counterfactual analysis and I want to > compare IRFs, by restricting one variable to not respond to an > underlying shock at ALL horizons. > > Suggestions? > If I understand correctly what you mean, if your non-responding variable is x_1, then you need to throw out all other variables in the x_1 equation. Plus the contemporaneous restriction. Only then will the IRF be identically zero. That's not ex post, however, but "simply" restricted estimation. cheers, sven _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users

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 _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users

Well yes, that was my first suggestion. That's the difference between "doesn't react" or "doesn't move (at all)". But for the IRFs it shouldn't make a difference whether you put y2 as exogenous or if you explicitly estimate this restricted structure with a univariate y2 equation. Assuming you don't care about the shock in this y2 equation, only about the shocks in y1 and y3. Where it would make a difference AFAICS is if either you want to do actual forecasts, or perhaps if you want to get confidence bands with parameter uncertainty. [Without further thinking I'm not 100% sure about this latter point, however, but it seems plausible.] -sven *Gesendet:* Dienstag, 04. Juni 2013 um 20:10 Uhr *Von:* "Gabriela Nodari" <gabriela.nodari(a)gmail.com&gt; *An:* "Gretl list" <gretl-users(a)lists.wfu.edu&gt; *Betreff:* Re: [Gretl-users] SVAR coefficients Ok, I will try to estimate the SVAR with x_1 as exogenous, I am also quite sure that the SVAR package allows it. But I am getting a little but confused! Actually I am trying to follow a paper where the authors do this exercise, they have Yt=(y1, y2, y3). They shock y1, and they check the effects on y2 and y3. As for y3, they say that there is a direct effect, and an indirect effect (via y2). To isolate these 2 effects, what they do is: "to restrict the coefficients of the underlying VAR in such a way as to force the response of y2 to a shock in y1 to be zero [...] we postulate a different (restricted) economic structure, i.e. y2 is structurally not allowed to respond to y1 and y3 shocks [...]. A necessary condition is to set the impact reaction =0. This plus restricting the AR coefficients on lagged y1 and y3 in the y2 equation will be sufficient for imposing that y2 does not react to a y1 shock at any horizon" It seems that your first suggestion was the way to replicate what they do, isn't it? But I don't know how to do it in gretl! Gabriela 2013/6/4 Sven Schreiber <svetosch(a)gmx.net&gt; > > 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 > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users

On Wed, 5 Jun 2013, Gabriela Nodari wrote: Dear Sven, > > Thanks a lot for your time and patience! I have estimated the SVAR with > the > variable of interest being exogenous and I have the results I was > searching > for. I also found other papers which indeed do this exercise instead of > restricting coefficients. > At this point, I think that when you write your "Acknowledgements" section, the gretl community will deserve to be mentioned! ;) ------------------------------**------------------------- 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<http://www2.econ.un... ------------------------------**------------------------- _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users