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The SVAR addon for gretl

Author

Listed:
  • Riccardo Lucchetti

    () (Universita' Politecnica delle Marche, Dipartimento di Scienze Economiche Sociali)

  • Sven Schreiber

    () (Macroeconomic Policy Institute (IMK), Hans Bockler Foundation and Free University Berlin)

Abstract

The SVAR addon is a collection of gretl functions to estimate Structural Vector Autoregressions (SVARs) and to conduct inference on the resulting magnitudes such as the impulse response functions and short-run or long-run impact matrices. For the purpose of identifying the structural shocks short-run as well as long-run restrictions are supported, including those related to the cointegration properties in the case of non-stationary systems. For the stationary case a dialog-driven graphical interface is also offered. Inference can be based on the bootstrap, optionally using a bias correction as suggested in the literature. This documentation explains the addon's usage, capabilites and limitations, and provides some necessary econometric methodological background (version 1.32).

Suggested Citation

  • Riccardo Lucchetti & Sven Schreiber, 2018. "The SVAR addon for gretl," gretl working papers 5, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  • Handle: RePEc:anc:wgretl:5
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    File URL: http://docs.dises.univpm.it/web/quaderni/pdfgretl/gretl005.pdf
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    More about this item

    Keywords

    Structural VARs; bootstrap;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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