*! version 16.0 18march2021

[VAR-NR] irf_funct() -- Calculate impulse responses of SVAR

Syntax

transmorphic scalar
irf_funct(struct var_struct scalar VAR, struct opt_struct scalar opts)

Description

irf_funct(VAR,opts) returns an associative array containing
impulse responses for the structual vector autoregression with elements
contained in structure VAR using identification and other options
specified in structure opts. If VAR and/or opts are empty or
missing crucial elements, irf_funct() will fail.

Options for impulse response function identification and estimation are set to
defaults when var_nr is run. They are adjusted using
var_nr_options in Stata or using standard
structure.element structure syntax in Mata. Options affecting IRF
calculation are outlined below:

Options

ident specifies the method used to identify the model.
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 sign
restrictions (pure and/or narrative).

nsteps specifies the number of steps for which, or the maximum horizon
out to which, the IRF is calculated (must be positive integer).

impact sets the size of the shock for the impulse. Options are 0 or 1. If
it is set to "0" then shock is one standard deviation. If it is set to
"1" the shock is 1.

shut specifies if there is a row of the inverse-A matrix to be set to 0.
Options are 0 or 1, where 1 specifies that a row be shut.

pctg specifies the size of the confidence bands around the impulse
displayed in the plotted irf. For example, if "95" is specified, then a 95%
confidence interval is plotted.

method specifies the method for calculating the uncertainty. If "bs"
is specified, then the error is calculated using the residuals to
calculate bootstraps. If " wild" is specified, then the error is calculated
using a wild bootstrap based on a simple distribution using Rademacher weights.

Remarks

irf_funct() can be called in Stata using function
var_nr_irf.

For an overview of functions in the toolbox, see

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

Sources

Code for this function is adapted from Ambrogio Cesa-Bianchi's VAR Toolbox.
Code follows Kilian and Lutkepohl's notation in
Structural Vector Autoregressive Analysis (2016).