*! version 16.0 18march2021

[VAR-NR] var_nr_shock_set -- Set sign restriction on given structural shock

Syntax

var_nr_shock_set
,

srname("string")
shock("string")
affecting("string")
starthzn(num)
[endhzn(num)
positive
negative]

Description

var_nr_shock_set imposes a sign restriction on the impulse response to a
given structural shock. shock designates the structural shock to be
restricted. This should be filled with the shock name designated in
var_nr_shock_name, if a name was specified; otherwise,
it should be filled with the corresponding variable name. affecting should
be specified with the name of the endogenous variable whose impulse response to
the shock is to be restricted.

starthzn and endhzn set the horizons on
the impulse response that the sign restriction is enforced. If these are equal,
or if endhzn if not specified, the restriction is imposed on a single
horizon. positive indicates that the sign is restricted to be
positive. negative imposes a negative sign restriction. One of
positive and negative should be specified, but these cannot both
be specified.

Remarks

var_nr_shock_set runs the Mata function
shock_set().

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).