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svar

structural VAR estimation

CALLING SEQUENCE

res=svar(rvar,Def_A,Def_B,arg1,...,argn)

PARAMETERS

Input

* rvar = rvar tlist returned by VAR

* Def_A = a string matrix, defining its non-zero elements as constants or functions of the vector or parameters

   . 'A(i,j) = numerical value (e.g: 'A(1,1)=1')

   . 'A(i,j) = param(k)' (e.g: 'A(4,2)=param(3)')

* Def_B = a string matrix, defining its non-zero elements as constants or functions of the vector or parameters as for A

Output

* res = a results tlists with

   - res('meth') = 'structural var'

   - all results fieds of the original VAR results tlist

   - res('B matrix') = the calculated B matrix

   - res('A matrix') = the calculated A matrix

   - res('def B matrix') = the matrix defining B non-zero elements as constants or functions of the vector or parameters

   - res('def A matrix') = the matrix defining A non-zero elements as constants or functions of the vector or parameters

   - res('structural parameters') = the parameters that define the calculated A and B matrices

DESCRIPTION

Switches from a VAR estimated in reduced form to a structural VAR, such as: B*u=A*eps with:

* u = (correlated) residuals from the reduced form

* eps = (uncorrelated) structural residuals.

EXAMPLE

// data are taken from Breitung J, Bruggemann R, and Lutkepohl H (2004),
// Structural vector autoregressive modeling and  impulse responses,
// Applied Time Series Econometrics, Cambridge University Press

global GROCERDIR ;
load(GROCERDIR+'\data\breitung_et_al.dat')
var_breit=VAR(4,'endo=ly;lm;ir')
Def_A0=['A(2,1)=param(1)';'A(2,3)=param(2)';'A(3,1)=param(3)']

// A has the following form:
//     | 1			0		0  		 |
// A = | param(1) 	1		param(2) |
//     | param(3) 	0		1		 |

Def_B0=['B(1,1)=param(4)';'B(2,2)=param(5)';'B(3,3)=param(6)']

//     | param(4)	0		0  		 |
// B = | 0		 	param(5)		 |
//     | 0 	0		1		param(6) |
rsvar2=svar(var_breit,Def_A0,Def_B0)

AUTHOR

Éric Dubois 2026

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