Structural VAR

[ripatti]

Dear Musketeers,

I just wonder if there is easy way to set up the following structural
VAR in Iris:
A e = B u
where
e reduced form residuals
u structural form residuals
A and B are matrices that contain enough restrictions.

Blanchard and Perotti (2002) is a classical example of this kind of
identification scheme. I would be very nice to use SVAR object to
calculate standard impulse responses FEVDs etc measures. I do not know
how to setup this within the SVAR (or VAR) object.

Antti

[Jaromir Benes]

Hi Antti

Currently, there's only three identification schemes available in IRIS -- Cholesky (i.e. triangular instantaneous responses), QR (i.e. triangular cumulative asymptotic responses) and Householder (sampling from an underdetermined system of restrictions imposed on instantaneous and/or cumulative asymptotic responses).

Please post a feature request for what you want -- this is relatively easy. The only reason I haven't done it so far is that I openly and deeply denounce any kind of structural analysis based on VARs so I'm adding these tools only under the pressure of users' demand for them :)))) (I only acknowledge VARs as an excellent parametric tool to describe reduced-form properties of observed data, and to produced short-term forecasts exploiting historical correlations).

Best,

Jaromir

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[ripatti]

Thanks Mirek!

Since I am addicted to Iris, I am doing sometimes stupid things with
it ;-) I also use Iris for teaching. Hence, feature request added.

Cheers,
Antti

[ripatti]

I could try to do something myself. What are the properties 'A' and
'B' in the SVAR object? What is the form/specification of the SVAR?
Antti

[Jaromir Benes]

I'm on vacation until end of the week. Will get back to you next week.

M.