*! version 16.0 18march2021

[VAR-NR] var_nr_narr_create -- Initialize object storing narrative sign restrictions on historical decomposition

Syntax

var_nr_narr_create
,

varname("string")
nsrname("string")

Description

var_nr_shock_create initializes an object that can be loaded with
narrative sign restrictions on the VAR specified in varname named
nsrname. The object is populated with narrative sign restrictions on the
historical decomposition of the structural shocks using
var_nr_narr_set. The output should ultimately be fed
into var_nr_sign_restrict.

Remarks

var_nr_narr_create runs the Mata function
nr_create.

For an overview of functions in the toolbox, see

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

Sources

Code implements narrative sign restriction identification as proposed by
Antolin-Diaz and Rubio-Ramirez in Narrative Sign Restrictions for SVARs
(2018). Code follows Kilian and Lutkepohl's notation in
Structural Vector Autoregressive Analysis (2016).