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Merge pull request #1451 from JohannesPfeifer/bvar_doc 

Document how to set options for BVAR Irfs
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Stéphane Adjemian 2017-05-16 12:49:30 +02:00 committed by GitHub
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doc/bvar-a-la-sims.tex
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@ -12,7 +12,7 @@
\begin{document}
\title{BVAR models ``\`a la Sims'' in Dynare\thanks{Copyright \copyright~2007--2015 S\'ebastien
Villemot; \copyright~2016 S\'ebastien
Villemot; \copyright~2016--2017 S\'ebastien
Villemot and Johannes Pfeifer. Permission is granted to copy, distribute and/or modify
this document under the terms of the GNU Free Documentation
License, Version 1.3 or any later version published by the Free
@ -27,7 +27,7 @@
\author{S\'ebastien Villemot\thanks{Paris School of Economics and
CEPREMAP.} \and Johannes Pfeifer\thanks{University of Cologne. E-mail: \href{mailto:jpfeifer@uni-koeln.de}{\texttt{jpfeifer@uni-koeln.de}}.}}
\date{First version: September 2007 \hspace{1cm} This version: October 2016}
\date{First version: September 2007 \hspace{1cm} This version: May 2017}
\maketitle
@ -545,7 +545,7 @@ Most results are stored for future use:
The syntax for computing impulse response functions is:
\medskip
\texttt{bvar\_irf(}\textit{number\_of\_periods},\textit{identification\_scheme}\texttt{);}
\texttt{bvar\_irf(}\textit{number\_of\_lags},\textit{identification\_scheme}\texttt{);}
\medskip
The \textit{identification\_scheme} option has two potential values
@ -556,7 +556,25 @@ The \textit{identification\_scheme} option has two potential values
Keep in mind that the first factorization of the covariance matrix is sensible to the ordering of the variables (as declared in the mod file with \verb+var+). This is not the case of the second factorization, but its structural interpretation is, at best, unclear (the Matrix square root of a covariance matrix, $\Sigma$, is the unique symmetric matrix $A$ such that $\Sigma = AA$).\newline
The mean, median, variance and confidence intervals for IRFs are saved in \texttt{oo\_.bvar.irf}
If you want to change the length of the IRFs plotted by the command, you can put\\
\medskip
\texttt{options\_.irf=40;}\\
\medskip
before the \texttt{bvar\_irf}-command. Similarly, to change the coverage of the highest posterior density intervals to e.g. 60\% you can put the command\\
\medskip
\texttt{options\_.bvar.conf\_sig=0.6;}\\
\medskip
there.\newline
The mean, median, variance, and confidence intervals for IRFs are saved in \texttt{oo\_.bvar.irf}
\section{Examples}