Tuesday, June 30, 2020

Bernanke Sims Decomposition Restriction for VAR IRFs

Hi all,
I'm wondering if anyone knows if STATA has the functionality to do a bernanke sims decomposition when producing IRFs from VAR models, such that each variable can only affect one another after a lag of one, but that each variable can affect itself contemporaneously? I know that there is cholesky but this doesn't prevent contemporaneous influence other than through the ordering.

Thanks in advance!

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