1. MACROECONOMETRICS
LAB 5 – SVARs

2. ROADMAP Some things by definition not linked with others ...
Estimating SVARs
Estimation
Postestimation (diagnostics)
All about STATA 

3. Dataset (the same as previously)
Timing
Quarterly data, Jan – Dec. 2004
Data
GDP
Consumption
GDP deflator M3
Quarterly dummies

4. STATA (1) set memory 99m set matsize 800 Open downloaded file
Real and logs are already generated 

5. STATA (2) Defining SVARs Defining matrices: Defining constraints:
aeq(matrix_aeq) - set of equality constraints.
must be square with dimension equal to the number of equations in the underlying VAR.
the elements must be missing or real numbers.
Defining constraints:
acns(matrix_acns) - set of exclusion or cross-parameter equality constraints on A.
the elements must be missing, 0, or a positive integer.
Beq and bcns the same way!

6. STATA (3) SVARs And this is it !
matrix A = (1, 0 ,0\ ., 1, 0\ ., ., 1)
svar lrgdp lrcons lm3, aeq(A)
And this is it !

7. STATA (4) How do we know if this SVAR is a good one?
You do a VAR before
You run complete diagnostics on this VAR
varsoc (for no. of lags)
varstable (for eigen values)
varlmar (for autocorrelation)
If it’s OK., AND you have theory behind your SVAR it should be OK...

8. STATA (5) Forecasting Computing Graphing
svarfcast compute, step(8) dynamic(q(2005.1))
svarfcast compute f_, step(8) replace dynamic(q(2005.1)) bs
Graphing
svarfcast graph lrconsumption ldef_CPI lm3 lrpkb