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.