svar |

Estimate factorization matrix for structural innovations.

Syntax

var_name.svar(options)

The var object must previously have been estimated in unrestricted form.

You must specify the identifying restrictions either in text form by the append proc or by a pattern matrix option. See
“Specifying SVAR Restrictions in EViews” for details on specifying restrictions.

Options

You may specify any of the following options:

a=mat | Name of the pattern matrix for factorization matrix A. |

b=mat | Name of the pattern matrix for factorization matrix B. |

s=mat | Name of the pattern matrix for short-run impulse response matrix S. |

f=mat | Name of the pattern matrix for long-run impulse response matrix F. |

f0=arg (default=0.1) | Specify the starting values for estimation free parameters: a scalar value, or ‘s’ for user-specified values in the C coefficient object, or ‘u’ for values randomly drawn from the uniform distribution on [0,1], or ‘n’ for values randomly drawn from the standard normal distribution. The default is a scalar value of 0.1. |

maxiter=num, m=num | Maximum number of optimization iterations. The default is taken from the global option settings. |

conv=num, c=num | The convergence criterion (lower bound on optimization step size). The default is taken from the global option settings. |

trace=num, t=num (default=0) | Summarize the ongoing optimization every num iterations. Summary information is displayed in an unnamed text object. The default is a trace period of 0, which disables tracing. |

fsign | Do not perform sign normalization. See “
“Sign Restrictions”” for a description of sign normalization. |

nostop | Suppress “Near Singular Matrix” and other error messages during estimation. |

preset=num, p=num | Apply a restriction preset, as described in the SVAR Options Identifying Restrictions dialog. num may be 1 through 6, corresponding to the first six preset options. |

prompt | Force the dialog to appear from within a program. |

Examples

var var1.ls 1 4 m1 gdp cpi

matrix(3,3) pata

pata.fill 1, na, na, 0, 1, na, 0, 0, 1

matrix(3,3) patb

pata.fill na, 0, 0, 0, na, 0, 0, 0, na

var1.svar(a=pata,b=patb)

The first line declares and estimates a VAR with three variables. We then create the factorization pattern matrices and perform the estimation.

var var1.ls 1 8 dy u @

var1.append(svar) @f(2,1)=0

freeze(out1) var1.svar

The first line declares and estimates a VAR with two variables without a constant. The next two lines specify a long-run restriction and store the estimation output in a table object named OUT1.

Cross-references

See
“Structural (Identified) VARs” for a discussion of structural VARs.