*! version 16.0 23march2021

[VAR-NR] var_nr -- initializes Stata/Mata objects to run var_nr Toolbox functions

Authors --

Author 1 name: Abigail Kuchek
Author 1 from: Federal Reserve Bank of Dallas, Research Department, Dallas, Texas
Author 1 email: abigail.kuchek@dal.frb.org

Author 2 name: Jonah Danziger
Author 2 from: Federal Reserve Bank of Dallas, Research Department, Dallas, Texas
Author 2 email: jonah.danziger@dal.frb.org

Author 3 name: Chris Koch
Author 3 from: International Monetary Fund, Research Department, Washington, DC
Author 3 email: ckoch2@imf.org

Syntax

var_nr
ident
,

varname("string")
optname("string")
[lintrend(varname)
quadtrend(varname)]

Description

var_nr passes output from the previously run var to Mata
in order to be used by subsequent
var_nr toolbox functions. The resulting objects
in Mata are bundled as a structure named varname. A Mata structure storing
options is initialized with defaults under the name specified in outname.

ident must be specified. lintrend and quadtrend must be specified if a linear and/or
quadratic trend variable are included in the var estimation. Details
on these and other options provided below.

Options

ident specifies the method for identifying the VAR. This option will
accept one of three strings: "oir", "bq", or "sr". "oir"
specifies zero short-run restrictions; "bq" specifies zero long-run
restrictions; and "sr" specifies [narrative] sign restrictions.

varname specifies the name of the structure that saves the output from
the vector autoregression and resulting calculations. This string is passed into
subsequent var_nr Toolbox functions.

optname specifies the name of the structure that contains the options
that are specified for future analysis. This string is passed into subsequent
var_nr Toolbox functions.

lintrend specifies the name of the linear trend variable used in
var when previously run.

quadtrend specifies the name of the quadratic trend variable in
var when previously run.

Remarks

var_nr runs functions var_funct and opt_funct in Mata. All
outputs are automatically stored in Mata to be used by other
other functions included in the var_nr Toolbox.

Examples of the var_nr toolbox functions used are do EXAMPLE_stata_shortrun

. stata do EXAMPLE_data_shortrun.do.

For an overview of Stata functions in the toolbox, see

[VAR-NR] var_nr Toolbox -- Stata functions.