*! version 16.0 23march2021

[VAR-NR] var_nr_hd -- Calculate historical decomposition of SVAR

Syntax

var_nr_hd
,

varname("string")
optname("string")
outname("string")
[srname("string")]

Description

var_nr_hd calculates the historical decomposition for
the structual vector autoregression specified in varname estimated
previously using var_nr. Historical decomposition are stored in
Mata (see hd_funct() for more details) under the
name specified in outname.

If the SVAR was identified using [narrative] sign restrictions, srname
must be specified with the name of the credible set output by
var_nr_sign_restrict.

Options for historical decomposition function identification and estimation are set to
defaults when var_nr is run and are adjusted using
var_nr_options. Options affecting HD 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).

Remarks

var_nr_hd runs function hd_funct() in Mata
when identification strategy is short or long-run zero restrictions. If the
SVAR is identified with [narrative] sign restrictions,
sr_analysis_funct() is run in Mata. All outputs
are automatically stored in Mata to be used by other
other functions included in the var_nr Toolbox.

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).