Thank you very much Tom for your help. And I totally see your point.
P.S what is exactly p here (as in "v=i1=p*v1") ?
Search found 3 matches
- Sun Jan 04, 2009 9:57 am
- Forum: VARs (Vector Autoregression Models)
- Topic: Identifying VARs with sign restrictions
- Replies: 103
- Views: 149885
- Fri Nov 28, 2008 9:03 pm
- Forum: VARs (Vector Autoregression Models)
- Topic: Identifying VARs with sign restrictions
- Replies: 103
- Views: 149885
Identifying VARs with sign restrictions
Note: most of this thread is now obsolete because the Mountford-Uhlig replication shows how to handle multiple shocks. Hello, RATS provides a code for replicating Uhlig(2005)'s paper which essentially identify VARs using sign restrictions.The code though allows for the identification of one shock. ...
- Fri Nov 21, 2008 4:48 pm
- Forum: VARs (Vector Autoregression Models)
- Topic: Sign Restrictions-Decomposition of Variance
- Replies: 4
- Views: 12553
Re: Sign Restrictions-Decomposition of Variance
Tom, The code here allows for the identification of one shock. i am using the identifying sign restrictions in a paper i am working on and i was thinking about identifying more than one shock at the same time (say 2 shocks). i am kinda puzzled as to how to incorporate that in the code. Would identif...