1. A

    Interpretation of log transformed first differences in SVAR models

    I am working with a structural VAR analysis, and want to understand my results. The model studies how a shock on one variable affects a second variable. I understand that if the first month's response is +3 %, it means that the initial value of the response variable increases by 3 percent...
  2. M

    STATA returns R(603) - IRF cannot be opened- after running a SVAR

    Dear talkstats users, I am trying to create IRFs after running a VAR - SVAR. The code is the following: matrix A = (1,0,0,0\.,1,0,0\.,.,1,0\.,.,.,1) matrix B = (.,0,0,0\0,.,0,0\0,0,.,0\0,0,0,.) svar doilp dmsciw debitda dstkp, aeq(A) beq(B) vargranger matrix Aest = e(A) matrix Best =...
  3. C

    SVAR parameter standard errors

    Hi everyone, How to calculate the standard errors of SVAR parameters. I know how to estimate it for contemporaneous parameter. I want to know how about the others? Are SE for SVAR model going to be the same as these in VAR model (other parameters are the same in these two models)? Thanks
  4. S

    Running a Long-Run Structural VAR (SVAR)

    Good day, I am trying to run a 9 variable structural var with long-run restrictions. I used economic theory to impose restrictions rather than the Cholesky decomposition. However I am really confused as to what Matrix 'C' is in the Stata Manual. It is said there that yt= Abar(inverse)...
  5. R

    Using svar and irf create with panel Data

    Dear all, I'm a graduate student and unfortunately I must run a Svar on a panel of 500 firms: (1-L)Y(i)=C(L)e(i) The problem that I have is how to store the results. To collect coefficients I used: statsby _b _se estimates, by(id) basepop(id == 1): svar dsal demp, lreq(C) lags(1/2)...