From 6dde340c1e7c9e388ac81d9fc27ab64fa3526b63 Mon Sep 17 00:00:00 2001 From: Johannes Pfeifer Date: Sun, 14 May 2017 18:37:34 +0200 Subject: [PATCH] Document how to set options for BVAR Irfs --- doc/bvar-a-la-sims.tex | 26 ++++++++++++++++++++++---- 1 file changed, 22 insertions(+), 4 deletions(-) diff --git a/doc/bvar-a-la-sims.tex b/doc/bvar-a-la-sims.tex index 6caf4d8b2..b58b83b75 100644 --- a/doc/bvar-a-la-sims.tex +++ b/doc/bvar-a-la-sims.tex @@ -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}