The SVAR addon for gretl

Riccardo (Jack) Lucchetti and Sven Schreiber

No 5, gretl working papers from Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali

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).

Keywords: Structural VARs; bootstrap (search for similar items in EconPapers)
JEL-codes: C32 C87 (search for similar items in EconPapers)
Pages: 46
Date: 2018-02
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Persistent link: https://EconPapers.repec.org/RePEc:anc:wgretl:5

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