Svar identification question

Dynare help (legacy posts)
1

Dear Dynare Community,

I am currently going through the DH10.mod example in order to learn the MS-SBVAR estimation package in Dynare. I have a question concerning the exclusion restrictions from the SvarExclusionInterface on WikiDynare (dynare.org/DynareWiki/Markov … gInterface):

How should I interpret these lines:
svar_identification;
exclusion lag 0;
equation 1, y, pi;
equation 2, pi, r;
exclusion lag 1;
equation 1, y, pi;
equation 2, pi, r;
end;

Thanks for your help

Alex

2

Hi,

I think I found out the source of my confusion. In the DH10.mod example, there is a identification restriction on the coefficient in front of KCFSI_t because the Dynare MSVAR is defined with a diagonal matrix in front of the structural shocks. Since in Davig and Hakkio (2010), there is the A(s_t) matrix in front of the Sigma matrix, I have to premultiply the whole equation by A^-1. That ends up giving me the same kind of restriction. Is my interpretation right?

I have three more questions:
(1) In Davig and Hakkio (2010), some parameters are state-independent. Any ways to do this in Dynare?
(2) Is there a way to get IRF conditional on the regime?
(3) The IRF I get from the example are quite different from the ones in the paper (see attached mod file). How come?

Thanks a lot

Alex
DH10.mod (802 Bytes)

3

[quote]I have three more questions:
(1) In Davig and Hakkio (2010), some parameters are state-independent. Any ways to do this in Dynare?
(2) Is there a way to get IRF conditional on the regime?
(3) The IRF I get from the example are quite different from the ones in the paper (see attached mod file). How come?[/quote]

(1) no you cannot, except if it is for an entire equation.
(2) By recovering A(st) and F(st). I am wondering if Dynare can do it. It was a bug.
(3) As explained in the example, there are few differences with their original paper.