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

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)

[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.