VAR_NR: Stata module to estimate set identified SVARS

Abigail Kuchek (), Jonah Danziger () and Christoffer Koch
Additional contact information
Abigail Kuchek: Federal Reserve Bank of Dallas
Jonah Danziger: Federal Reserve Bank of Dallas

Statistical Software Components from Boston College Department of Economics

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.

Language: Stata
Requires: Stata version 16
Keywords: structural VAR; vector autoregression; sign restrictions; IRFs; FEVDs (search for similar items in EconPapers)
Date: 2021-09-06, Revised 2021-09-09
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.
References: Add references at CitEc
Citations:

Downloads: (external link)
http://repec.org/bocode/v/var_nr.ado (text/plain)
http://repec.org/bocode/v/var_nr_fevd.ado (text/plain)
http://repec.org/bocode/v/var_nr_fevd_bands.ado (text/plain)
http://repec.org/bocode/v/var_nr_fevd_plot.ado (text/plain)
http://repec.org/bocode/v/var_nr_hd.ado (text/plain)
http://repec.org/bocode/v/var_nr_hd_plot.ado (text/plain)
http://repec.org/bocode/v/var_nr_irf.ado (text/plain)
http://repec.org/bocode/v/var_nr_irf_bands.ado (text/plain)
http://repec.org/bocode/v/var_nr_irf_plot.ado (text/plain)
http://repec.org/bocode/v/var_nr_narr_create.ado (text/plain)
http://repec.org/bocode/v/var_nr_narr_set.ado (text/plain)
http://repec.org/bocode/v/var_nr_options.ado (text/plain)
http://repec.org/bocode/v/var_nr_options_display.ado (text/plain)
http://repec.org/bocode/v/var_nr_shock_create.ado (text/plain)
http://repec.org/bocode/v/var_nr_shock_name.ado (text/plain)
http://repec.org/bocode/v/var_nr_shock_set.ado (text/plain)
http://repec.org/bocode/v/var_nr_sign_restrict.ado (text/plain)
http://repec.org/bocode/v/fevd_funct.sthlp (text/plain)
http://repec.org/bocode/v/fevd_plot.sthlp (text/plain)
http://repec.org/bocode/v/hd_funct.sthlp (text/plain)
http://repec.org/bocode/v/hd_plot.sthlp (text/plain)
http://repec.org/bocode/v/irf_bands_funct.sthlp (text/plain)
http://repec.org/bocode/v/irf_funct.sthlp (text/plain)
http://repec.org/bocode/v/irf_plot.sthlp (text/plain)
http://repec.org/bocode/v/narr_sign_restrict.sthlp (text/plain)
http://repec.org/bocode/v/nr_create.sthlp (text/plain)
http://repec.org/bocode/v/nr_set.sthlp (text/plain)
http://repec.org/bocode/v/opt_display.sthlp (text/plain)
http://repec.org/bocode/v/opt_set.sthlp (text/plain)
http://repec.org/bocode/v/shock_create.sthlp (text/plain)
http://repec.org/bocode/v/shock_name.sthlp (text/plain)
http://repec.org/bocode/v/shock_set.sthlp (text/plain)
http://repec.org/bocode/v/sign_restrict.sthlp (text/plain)
http://repec.org/bocode/v/sr_analysis_funct.sthlp (text/plain)
http://repec.org/bocode/v/var_nr.sthlp (text/plain)
http://repec.org/bocode/v/var_nr_fevd.sthlp (text/plain)
http://repec.org/bocode/v/var_nr_fevd_bands.sthlp (text/plain)
http://repec.org/bocode/v/var_nr_fevd_plot.sthlp (text/plain)
http://repec.org/bocode/v/var_nr_hd.sthlp (text/plain)
http://repec.org/bocode/v/var_nr_hd_plot.sthlp (text/plain)
http://repec.org/bocode/v/var_nr_irf.sthlp (text/plain)
http://repec.org/bocode/v/var_nr_irf_bands.sthlp (text/plain)
http://repec.org/bocode/v/var_nr_irf_plot.sthlp (text/plain)
http://repec.org/bocode/v/var_nr_mata_functions.sthlp (text/plain)
http://repec.org/bocode/v/var_nr_narr_create.sthlp (text/plain)
http://repec.org/bocode/v/var_nr_narr_set.sthlp (text/plain)
http://repec.org/bocode/v/var_nr_options.sthlp (text/plain)
http://repec.org/bocode/v/var_nr_options_display.sthlp (text/plain)
http://repec.org/bocode/v/var_nr_shock_create.sthlp (text/plain)
http://repec.org/bocode/v/var_nr_shock_name.sthlp (text/plain)
http://repec.org/bocode/v/var_nr_shock_set.sthlp (text/plain)
http://repec.org/bocode/v/var_nr_sign_restrict.sthlp (text/plain)
http://repec.org/bocode/v/var_nr_stata_functions.sthlp (text/plain)
http://repec.org/bocode/l/lib_var_nr.do Mata code (text/plain)
http://repec.org/bocode/l/lib_var_nr.mlib Mata object library (application/x-stata)
http://repec.org/bocode/d/data_longrun.dta (application/x-stata)
http://repec.org/bocode/d/data_narrsignrestrict.dta (application/x-stata)
http://repec.org/bocode/d/data_shortrun.dta (application/x-stata)
http://repec.org/bocode/e/EXAMPLE_mata_longrun.do (text/plain)
http://repec.org/bocode/e/EXAMPLE_mata_narrsignrestrict.do (text/plain)
http://repec.org/bocode/e/EXAMPLE_mata_shortrun.do (text/plain)
http://repec.org/bocode/e/EXAMPLE_stata_longrun.do (text/plain)
http://repec.org/bocode/e/EXAMPLE_stata_narrsignrestrict.do (text/plain)
http://repec.org/bocode/e/EXAMPLE_stata_shortrun.do (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458992

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().