*! version 1.0.0 10jul2015

Title

svarsirf -- SVAR structural impulse response function

Syntax

svarsirf
[,
options]

Main
steps(#) number of steps # for SIRF and standard errors; default is
steps(12)

nose do not calculate standard errors

Description

svarsirf can only be used after svar. It calculates the SVAR structural
impulse response function (SIRF) and its asymptotic standard errors (SE).
It produces the same results as irf create but it is much faster! NB: it will
calculate the wrong sirf and se if lags in svar are defined differently
from lag(1/n).

Options

Main

steps(#) defines the number of steps for the calculations of the SIRF and
SE. This number excludes the contemporaneus impulse response so that steps(5)
(say) will produce 6 values.

nose forces the program not to calculate the asymptotic standard errors.

Examples

. webuse lutkepohl2.dta, clear

. mat A0=(1,-0.317934,-.217459\ .,1,-0.888381\ .,.,1)

. mat B=(.,0,0 \ 0,.,0 \ 0,0,.)

. quietly svar dln_c dln_inv dln_inc, aeq(A0) beq(B) lags(1/2) dfk

. svarsirf

. svarsirf, steps(50)

. svarsirf, steps(50) nose

Stored results

svarsirf stores the following in r():

Macros

r(head) The list of impulse_response

Matrices

r(SIRFSE) The matrix of the asymptotic standard errors if option
nose is not selected

r(SIRF) The matrix of the structural impulse response functions

Authors

Gregorio Impavido (gimpavido@imf.org)

Li Tang (ltang@imf.org)