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Jorge Restrepo is a Senior Economist in the Institute for Capacity Development’s Western Hemisphere Division. In addition to his academic work he has been a Member of the Reserve Bank of Australia Board (1995-2000) and has advised a number of central banks on modeling issues, including the Bank of England, the Norges Bank, the European Central Bank and the Reserve Bank of New Zealand. He has also co-edited Advanced Texts in Econometrics, (Oxford University Press) and Themes in Modern Econometrics (Cambridge University Press). He has been an editor of Econometric Theory and the Journal of Applied Econometrics and an associate editor of Econometrica. He has been elected to Fellowships of the Econometric Society, the Australian Academy of Social Sciences, the Modelling and Simulation Society of Australia, the Journal of Econometrics, and the Journal of Applied Econometrics. Professor Pagan is the author of around 150 articles and 4 books. He has held Professorial appointments at the Australian National University, the University of Rochester, the University of New South Wales and Oxford University. As we will see it is generally much easier to work with EViews 10.Īdrian Pagan is an Emeritus Professor of Economics at the University of Sydney and a Professorial Research Fellow at the University of Melbourne.
SVAR MODEL IN EVIEWS HOW TO
In this updated manuscript we first present how to estimate SVARs if one only has EViews 9.5 and then we re-do the same exercises using EViews 10. This book is now updated for EViews 10, which has many new features that deal with VARs and SVARs. Its orientation is towards applied work and it does this by working with the data sets from some classic SVAR studies. It also proposes solutions that are relatively easy to implement using EViews. This book sets out the theory underlying the SVAR methodology in a relatively simple way and discusses many of the problems that can arise when using the technique. An important method has been the use of the technique known as Structural Vector Autoregressions (SVARs), which aims to gather information about dynamic processes in macroeconomic systems. Quantitative macroeconomic research is conducted in a number of ways. More on the implications and interpretations of such choices, and other details, are left from classroom discussion.Quantitative Macroeconomic Modeling with Structural Vector Autoregressions – An EViews Implementation by Sam Ouliaris, Adrian Pagan and Jorge Restrepo This is obtained by choosing the structural decomposition, as shown below. These are as before but now we can obtained the IRF based on the SVAR approach. Step 7: Finally, you will want to generate Impulse responses and/or Variance decompositions. OK is pressed and the results appear as shown below: patc is the matrix used and a long-run restriction is assumedī. In class we will discuss the choices that can be made as well as the differences between short and long-run restrictions a. Step 6: Once you have decided whether the restrictions are of the long-run of short-run variety you enter the matrix name as shown below and estimate the SVAR.
SVAR MODEL IN EVIEWS SERIES
As shown below, when the matrix is created the rows and columns are zeroes and they can be edited just as any series value can be edited in the worksheet. The matrix is created as follows (this can be done in the top window where commands are entered): matrix (2,2) patd matrix is the command, (2,2) tells Eviews the size of the matrix (here 2 rows and 2 columns), while patd is the name given to the matrix. Alternatively (and preferably), you can create a matrix, here called patc which contains the unrestricted (denoted by NA) and the restricted (here a numerical value is used but it could be some other value). We shall also go over this approach in class. First, you can enter the long or short-run restriction via text and Eviews gives an example. Step 5: Now you need to choose the structural factorization. Step 4: Choose Estimate Structural Factorization (the last item on the menu) and the following will appear Step 3: Click on Procs which produces the following menu Step 2: Estimate the unrestricted VAR which results in the following window appearing Here, CPI inflation and real GDP growth (a constant and a dummy for the deflation are assumed to be exogenous variables). Step 1: Choose the series you are interested in. The following example is from a paper co-written with a former graduate student and deals with inflation/deflation in China. Estimating a Structural VAR To estimate a structural VAR you begin as you would any VAR estimation but selecting the series in your VAR and estimating a conventional VAR.