*! version 16.0 18march2021

[VAR-NR] var_nr_fevd_bands() -- Calculate confidence bands
for forcast error variance decompostion of SVAR.

Syntax

var_nr_fevd_bands

,
varname("string")
optname("string")
outname("string")
[statamatrix("string")]

Description

var_nr_fevd calculates the forecast error variance decomposition for
the structual vector autoregression specified in varname estimated
previously using var_nr. Forecast error variance decompositions
are stored in Mata (see fevd_funct() for more details)
under the name specified in outname.

statamatrix is optional. If it is specified, a matrix containing the
forecast error variance decomposition will be generated in Stata and stored
under the name specified within the parantheses (note the name is entered as a
string but the name itself, of course, will not be). Column names are
descriptive.

Options for forecast error variance decomposition function identification and
estimation are set to defaults when var_nr is run and are
adjusted using var_nr_options. Options affecting FEVD
calculation also affect var_nr_fevd_bands(), as well as two additonal
options shown below: pctg and method

Options

pctg specifies the size of the error bands around the forecast displayed
in the plotted fevd. 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.

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 FEVD is calculated (must be positive integer).

impact sets the size of the shock for the forecast. 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.

Remarks

var_nr_fevd_bands() can be called in Mata using function
fevd_bands_funct.

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).