*! version 16.0 18march2021

[VAR-NR] var_nr Toolbox -- Stata functions

Contents

[VAR-NR]
Manual entry Purpose

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---+ Calculations +

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var_nr initializes Stata/Mata objects to run var_nr Toolbox functions

var_nr_irf calculate impulse responses of SVAR

var_nr_irf_bands calculate confidence bands for impulse responses of SVAR

var_nr_fevd calculate forecast error variance decompositions of SVAR

var_nr_fevd_bands calculate confidence bands for forecast error variance decompositions of SVAR

var_nr_hd calculate historical decompositions of SVAR

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---+ Sign & Narrative Restrictions +

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var_nr_sign_restrict routine to generate [narrative] sign-identified credible set for SVAR

var_nr_shock_create initialize object storing sign restrictions on impulse responses to structural shocks

var_nr_shock_name input names of structural shocks (for plotting)

var_nr_shock_set set sign restriction on given shock

var_nr_narr_create initialize object storing narrative sign restrictions on historical decomposition

var_nr_narr_set set narrative sign restriction on given shock for given time period

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---+ Plotting +

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var_nr_irf_plot plot impulse response(s)

var_nr_fevd_plot plot forecast error variance decomposition(s)

var_nr_hd_plot plot historical decomposition of structural shocks

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---+ Settings +

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var_nr_options set identification, analysis, and plotting options

var_nr_options_display print current settings

Description

The above functions are included in the var_nr Toolbox (Danziger, Koch, Kuchek 2021) and run in Stata.

Remarks

For corresponding Mata functions, see

[VAR-NR] var_nr Toolbox Mata functions