svarControlCreate#

Purpose#

Initialize an svarControl structure with default values for use with svarIrfCompute().

Format#

adv = svarControlCreate()#

Returns:

adv (struct) –

An instance of an svarControl structure with the following members:

adv.zero_restr

Nx3 matrix, zero restrictions on impulse responses. Each row specifies one restriction with columns:

1	Variable index (1 to m) – the responding variable.
2	Shock index (1 to m) – the structural shock.
3	Horizon (0 = impact, 1 = one step ahead, etc.).

Zero restrictions are satisfied exactly by construction using the ARW2018 null-space algorithm. When zero_restr is non-empty, the algorithm is automatically set to ARW2018. Default = {} (no zero restrictions).

adv.narrative_restr

Nx6 matrix, narrative restrictions on the historical decomposition. Each row specifies one restriction with columns:

1	Type: 1 = shock_sign, 2 = shock_dominance, 3 = decomposition_sign.
2	Variable index (1 to m).
3	Shock index (1 to m).
4	Date 1: observation index (1-indexed), or start of range.
5	Date 2: end observation (0 if unused).
6	Sign: 1 for positive, -1 for negative.

When narrative_restr is non-empty, the v3 narrative engine is used automatically. Default = {} (no narrative restrictions).

adv.algorithm

Scalar, algorithm selection. Default = 0 (auto-detect).

0	Auto: uses RRW2010 for pure sign, ARW2018 if `zero_restr` is non-empty, v3 narrative engine if `narrative_restr` is non-empty.
1	Accept-reject (RRW2010). Efficient for pure sign restrictions. Cannot handle zero restrictions.
2	ARW2018 null-space construction. Required for zero restrictions. Also works for pure sign restrictions.

adv.max_tries

Scalar, maximum rotation attempts per posterior draw. Default = 10000.

adv.seed

Scalar, RNG seed for reproducibility. Default = 42.

adv.quiet

Scalar, set to 1 to suppress printed output. Default = 0.

Examples#

Default Settings#

new;
library timeseries;

struct svarControl adv;
adv = svarControlCreate();

Adding Zero Restrictions#

new;
library timeseries;

struct svarControl adv;
adv = svarControlCreate();

// Zero restriction: shock 1 has no contemporaneous
// effect on variable 3
adv.zero_restr = { 3 1 0 };

Adding Narrative Restrictions#

new;
library timeseries;

struct svarControl adv;
adv = svarControlCreate();

// Narrative restriction: shock 3 was positive at obs 84
// [type, variable, shock, date1, date2, sign]
adv.narrative_restr = { 1 3 3 84 0 1 };

Remarks#

The svarControl structure is optional. When only sign restrictions are needed, svarIrfCompute() can be called without it. The advanced structure is required when using zero restrictions, or when overriding default algorithm settings.

Library#

timeseries

Source#

var.src