*
*  Example program using SVAR and VMA procedures
*
source(noecho) svar.src
cal 1970 4 4
all 3 1989:2
open data Italy.rat                
data(format=rats) / qpil qum1 qrbot3
log qpil
log qum1
log qrbot3
filter qpil
# 1 2 3
# 1 1 1
filter qum1
# 1 2 3 
# 1 1 1 
filter qrbot3
# 1 2 3 
# 1 1 1
set qpil = qpil(t)/4
set qum1 = qum1(t)/4
set qrbot3 = qrbot3(t)/4
diff qpil
diff qum1
diff qrbot3
*
*  Unrestricted VAR model
*
smpl 1972:4 1989:2
system 1 to 3
var qpil qum1 qrbot3
lags 1 to 3
kfset ixix
det constant 
end(system)
estimate(outsigma=sigma) / * 1
*
*  Explicit form constraints
*
declare rect sa(9,3) sb(9,3)
input sa
 0 0 0 
 1 0 0
 0 1 0
 0 0 0
 0 0 0
 0 0 1
 0 0 0 
 0 0 0
 0 0 0
input sb
 1 0 0 
 0 0 0
 0 0 0
 0 0 0
 0 1 0 
 0 0 0
 0 0 0
 0 0 0
 0 0 1
declare vector da(9) db(9)
input da
 1 0 0 0 1 0 0 0 1
input db
 0 0 0 0 0 0 0 0 0
*
*  Starting values for the scoring algorithm
*
declare vector start(6)
input start
  -.98666  -.62314e-01  -.245523e-1 580.58 2280.5 50.718 
@svar(maxls=1000.0) sigma start sa sb da db

source(noecho) vma.src
*
*  Varparam matrix
*
decalre rect varparam(3,9)
declare integer serie
do serie=1,3
  do i=1,3
    do j=1,3
      eval varparam(serie,(j-1)*3+i)=([series]serie)((i-1)*3+j)
    end do j
  end do i
end do serie

@vma a b absigma ixix varparam
write irfvar
write impulse
write irf
write irfbound
write fevd
write decvar
write decbound