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VAR_NR: Stata module to estimate set identified SVARS

Author

Listed:
  • Abigail Kuchek

    (Federal Reserve Bank of Dallas)

  • Jonah Danziger

    (Federal Reserve Bank of Dallas)

  • Chris Koch

    (International Monetary Fund)

Programming Language

Stata

Abstract

The toolbox var_nr allows for the estimation of set identified SVARS in Stata using sign and narrative restrictions. The suite is able to produce impulse responses functions, forecast error variance decompositions, and historical decompositions. These postestimation commands can also be used in conjunction with standard point identified SVARs with short- or long-run restrictions.

Suggested Citation

  • Abigail Kuchek & Jonah Danziger & Chris Koch, 2021. "VAR_NR: Stata module to estimate set identified SVARS," Statistical Software Components S458992, Boston College Department of Economics, revised 09 Sep 2021.
    • Handle: RePEc:boc:bocode:s458992
    Note: This module should be installed from within Stata by typing "ssc install var_nr". 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

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    File URL: http://repec.org/bocode/v/var_nr.ado
    Download Restriction: no
    File URL: http://repec.org/bocode/v/var_nr_fevd.ado
    Download Restriction: no
    File URL: http://repec.org/bocode/v/var_nr_fevd_bands.ado
    Download Restriction: no
    File URL: http://repec.org/bocode/v/var_nr_fevd_plot.ado
    Download Restriction: no
    File URL: http://repec.org/bocode/v/var_nr_hd.ado
    Download Restriction: no
    File URL: http://repec.org/bocode/v/var_nr_hd_plot.ado
    Download Restriction: no
    File URL: http://repec.org/bocode/v/var_nr_irf.ado
    Download Restriction: no
    File URL: http://repec.org/bocode/v/var_nr_irf_bands.ado
    Download Restriction: no
    File URL: http://repec.org/bocode/v/var_nr_irf_plot.ado
    Download Restriction: no
    File URL: http://repec.org/bocode/v/var_nr_narr_create.ado
    Download Restriction: no
    File URL: http://repec.org/bocode/v/var_nr_narr_set.ado
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    File URL: http://repec.org/bocode/v/var_nr_options.ado
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    File URL: http://repec.org/bocode/v/var_nr_options_display.ado
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    File URL: http://repec.org/bocode/v/var_nr_shock_create.ado
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    File URL: http://repec.org/bocode/v/var_nr_shock_name.ado
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    File URL: http://repec.org/bocode/v/var_nr_shock_set.ado
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    File URL: http://repec.org/bocode/v/var_nr_sign_restrict.ado
    Download Restriction: no
    File URL: http://repec.org/bocode/v/fevd_funct.sthlp
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    File URL: http://repec.org/bocode/v/fevd_plot.sthlp
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    File URL: http://repec.org/bocode/v/hd_funct.sthlp
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    File URL: http://repec.org/bocode/v/hd_plot.sthlp
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    File URL: http://repec.org/bocode/v/irf_bands_funct.sthlp
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    File URL: http://repec.org/bocode/v/irf_funct.sthlp
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    File URL: http://repec.org/bocode/v/irf_plot.sthlp
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    File URL: http://repec.org/bocode/v/narr_sign_restrict.sthlp
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    File URL: http://repec.org/bocode/v/nr_create.sthlp
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    File URL: http://repec.org/bocode/v/nr_set.sthlp
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    File URL: http://repec.org/bocode/v/opt_display.sthlp
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    File URL: http://repec.org/bocode/v/opt_set.sthlp
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    File URL: http://repec.org/bocode/v/shock_create.sthlp
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    File URL: http://repec.org/bocode/v/shock_name.sthlp
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    File URL: http://repec.org/bocode/v/shock_set.sthlp
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    File URL: http://repec.org/bocode/v/sign_restrict.sthlp
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    File URL: http://repec.org/bocode/v/sr_analysis_funct.sthlp
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    File URL: http://repec.org/bocode/v/var_nr.sthlp
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    File URL: http://repec.org/bocode/v/var_nr_fevd.sthlp
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    File URL: http://repec.org/bocode/v/var_nr_fevd_bands.sthlp
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    File URL: http://repec.org/bocode/v/var_nr_fevd_plot.sthlp
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    File URL: http://repec.org/bocode/v/var_nr_hd.sthlp
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    File URL: http://repec.org/bocode/v/var_nr_hd_plot.sthlp
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    File URL: http://repec.org/bocode/v/var_nr_irf.sthlp
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    File URL: http://repec.org/bocode/v/var_nr_irf_bands.sthlp
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    File URL: http://repec.org/bocode/v/var_nr_irf_plot.sthlp
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    File URL: http://repec.org/bocode/v/var_nr_mata_functions.sthlp
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    File URL: http://repec.org/bocode/v/var_nr_narr_create.sthlp
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    File URL: http://repec.org/bocode/v/var_nr_narr_set.sthlp
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    File URL: http://repec.org/bocode/v/var_nr_options.sthlp
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    File URL: http://repec.org/bocode/v/var_nr_options_display.sthlp
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    File URL: http://repec.org/bocode/v/var_nr_shock_create.sthlp
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    File URL: http://repec.org/bocode/v/var_nr_shock_name.sthlp
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    File URL: http://repec.org/bocode/v/var_nr_shock_set.sthlp
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    File URL: http://repec.org/bocode/v/var_nr_sign_restrict.sthlp
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    File URL: http://repec.org/bocode/v/var_nr_stata_functions.sthlp
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    File URL: http://repec.org/bocode/l/lib_var_nr.do
    File Function: Mata code
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    File URL: http://repec.org/bocode/l/lib_var_nr.mlib
    File Function: Mata object library
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    File URL: http://repec.org/bocode/d/data_longrun.dta
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    File URL: http://repec.org/bocode/d/data_narrsignrestrict.dta
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    File URL: http://repec.org/bocode/d/data_shortrun.dta
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    File URL: http://repec.org/bocode/e/EXAMPLE_mata_longrun.do
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    File URL: http://repec.org/bocode/e/EXAMPLE_mata_narrsignrestrict.do
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    File URL: http://repec.org/bocode/e/EXAMPLE_mata_shortrun.do
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    File URL: http://repec.org/bocode/e/EXAMPLE_stata_longrun.do
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    File URL: http://repec.org/bocode/e/EXAMPLE_stata_narrsignrestrict.do
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    File URL: http://repec.org/bocode/e/EXAMPLE_stata_shortrun.do
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