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SVARSIRF: Stata module to compute structural impulse response function after SVAR

Author

Listed:
  • Gregorio Impavido

    (IMF)

Programming Language

Stata

Abstract

svarsirf calculates the SVAR structural impulse response function (SIRF) and its asymptotic standard errors (SE). It produces the same results as -irf create- but it is much faster as results are reported in matrix format and not saved to the disk. This makes the command very suitable for exercises that involve loops like testing for sign restrictions.

Suggested Citation

  • Gregorio Impavido, 2015. "SVARSIRF: Stata module to compute structural impulse response function after SVAR," Statistical Software Components S458060, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s458060
    Note: This module should be installed from within Stata by typing "ssc install svarsirf". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/s/svarsirf.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/s/svarsirf.sthlp
    File Function: help file
    Download Restriction: no
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