Object Reference : Object View and Procedure Reference : Var
  
 
svar
Estimate factorization matrix for structural innovations.
Syntax
var_name.svar(options)
The var object must previously have been estimated in unrestricted form.
You must specify the identifying restrictions either in text form by the append proc or by a pattern matrix option. See “Specifying SVAR Restrictions in EViews” for details on specifying restrictions.
Options
You may specify any of the following options:
 
a=mat
Name of the pattern matrix for factorization matrix A.
b=mat
Name of the pattern matrix for factorization matrix B.
s=mat
Name of the pattern matrix for short-run impulse response matrix S.
f=mat
Name of the pattern matrix for long-run impulse response matrix F.
f0=arg
(default=0.1)
Specify the starting values for estimation free parameters: a scalar value, or ‘s’ for user-specified values in the C coefficient object, or ‘u’ for values randomly drawn from the uniform distribution on [0,1], or ‘n’ for values randomly drawn from the standard normal distribution. The default is a scalar value of 0.1.
maxiter=num,
m=num
Maximum number of optimization iterations. The default is taken from the global option settings.
conv=num,
c=num
The convergence criterion (lower bound on optimization step size). The default is taken from the global option settings.
trace=num,
t=num
(default=0)
Summarize the ongoing optimization every num iterations. Summary information is displayed in an unnamed text object. The default is a trace period of 0, which disables tracing.
fsign
Do not perform sign normalization. See ““Sign Restrictions”” for a description of sign normalization.
nostop
Suppress “Near Singular Matrix” and other error messages during estimation.
preset=num,
p=num
Apply a restriction preset, as described in the SVAR Options Identifying Restrictions dialog. num may be 1 through 6, corresponding to the first six preset options.
prompt
Force the dialog to appear from within a program.
Examples
var var1.ls 1 4 m1 gdp cpi
matrix(3,3) pata
pata.fill 1, na, na, 0, 1, na, 0, 0, 1
matrix(3,3) patb
pata.fill na, 0, 0, 0, na, 0, 0, 0, na
var1.svar(a=pata,b=patb)
The first line declares and estimates a VAR with three variables. We then create the factorization pattern matrices and perform the estimation.
var var1.ls 1 8 dy u @
var1.append(svar) @f(2,1)=0
freeze(out1) var1.svar
The first line declares and estimates a VAR with two variables without a constant. The next two lines specify a long-run restriction and store the estimation output in a table object named OUT1.
Cross-references
See “Structural (Identified) VARs” for a discussion of structural VARs.