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Dear gretl friends:
I have been running some SVAR models based on:
Jack Lucchetti's "svar_gretl.pdf" as of February 2015
I ran the following bootstrap from the manual below:
bfail = SVAR_boot(&Mod, 1024, 0.90) loop for i=1..2 -q loop for j=1..2 -q
sprintf fnam "simpleC_%d%d.pdf", i, j IRFsave(fnam, &Mod, i, j)
endloopendloop
I found the IRF outputs but could not get the output table (like page 10 in Lucchetti).
Question 1: How can I get the bootstrap output table in page 10?Question 2:
Lucchetti's manual shows how to impose "both" short- and long-run
restrictions simultaneously. Does this simultaneous restriction function work?
Any advice would be greatly appreciated!Jay
Attachments:
- attachment.html (text/html — 3.2 KB)
On Fri, 29 Jul 2016, Jay Ryu wrote:
Dear gretl friends:
I have been running some SVAR models based on:
Jack Lucchetti's "svar_gretl.pdf" as of February 2015
I ran the following bootstrap from the manual below:
[...]
I found the IRF outputs but could not get the output table (like page
10 in Lucchetti).
Question 1: How can I get the bootstrap output table in page 10?
Uh, you're right. There's an undocumented fourth parameter to SVAR_boot:
it's an optional boolean "quiet" flag, which defaults to 1.
Supplying a 0 as fourth parameter to SVAR_boot, as in
<hansl>
SVAR_boot(&Model, 1000, 0.95, 0)
</hansl>
should do the trick.
I'll update the documentation asap.
Question 2: Lucchetti's manual shows how to impose
"both" short- and
long-run restrictions simultaneously. Does this simultaneous restriction
function work?
AFAIK, it should. Does the example script "BlQuah_w_sr.inp" (available in
the "Resources" directory) work for you?
-------------------------------------------------------
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
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