svarBAM

Purpose

Estimates parameters of a reduced form VAR model. Returns both the parameter estimates and boot-strapped standard error terms.

Format

svarOut = svarBAM(svard0, svarCtl0)
Parameters:
  • svard0 (struct) –

    An instance of the svarDataControl structure. For an instance of the svarDataControl structure named svard0 the members are:

    svard0.loadpath String, source path for the file where data is stored.
    svard0.filename String, filename where data is stored. For text or CSV files, the filename should include the extension.
    svard0.filetype String, filetype. Options include “TXT”, “CSV”, “XLS”, or “XLXS”.
    svard0.range String, range of cells where data is stored if the file is an XLS or XLXS.
    svard0.sheet Scalar, sheet number where data is stored if the file is an XLS or XLXS.
    svard0.frequency Scalar, annual frequency of data if the data is a time series.
    svard0.data Matrix, data from the file is placed for storage in the data matrix. Should not be filled by the user.
    svard0.ti Matrix, time index vector created during GAUSS initialization function.
  • svarCtl0 (struct) –

    An instance of the svarControl structure. For an instance of the svarControl structure named svarCtl0 the members are:

    svarCtl0.numVar Scalar, number of independent variables in the system.
    svarCtl0.T0 Scalar, observations number of initial time.
    svarCtl0.numIRF Scalar, number of impulse responses.
    svarCtl0.numirfSR Scalar, number of sign restrictions on impulse response functions.
    svarCtl0.signRestrictions Matrix, vector indicating sign restrictions on structural parameter coefficients. [0 = no restriction, 1 = response >= 0, -1 = response <= 0]. Violation of sign restriction: irf*restriction < bound.
    svarCtl0.printOut Scalar, indicator variable to print results to screen. [0 = no print out or 1 = print out].
    svarCtl0.numObsScale Scalar, creates a multiple of the sample size; nobsscale _> 100 indicates fixed OLS values.
    svarCtl0.numBlocks Scalar, number of simulation blocks.
    svarCtl0.numSimulations Scalar, number of iterations in each simulation.
    svarCtl0.numSimulationTot Scalar, total number of simulation iterations.
Returns:

svarOut (struct) –

An instance of the svarOutput structure. For an instance of the svarOut structure named sOut the members are:

sOut.phiMean Matrix, mean phi parameter values across all iterations.
sOut.phi Matrix, storage matrix for the current draw of the parameter vector.
sOut.sigmaMean Matrix, mean sigma parameter values across all iterations.
sOut.sigmatrq Matrix, storage matrix for the current draw of the sigma_q parameter vector.
sOut.sigmatr Matrix, storage matrix for the current draw of the sigma parameter vector.
sOut.phiOLS Matrix, OLS estimate of parameter values.
sOut.phiTilde Matrix, previous iteration parameter estimate.
sOut.sigmaOLS Matrix, OLS estimate of sigma values.
sOut.sigmaTilde Matrix, previous iteration sigma estimate.