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.