... beyond the obvious!

Current Version: 0.45
Current Release: 2


Structural VAR

Documents - Algorithms

With the release of version 0.21 Structural VAR contains a new algorithm that permits the estimation of the moving average impact (C) matrix under linear restrictions. A short note describing this algorithm is available for download in Portable Document Format. In addition, notes on the asymptotic behavior of variance decompositions, estimation and testing for common cycles as well as that of generalized impulse response functions are also available for download.

e Asymptotic Distribution of Variance Decompositions, February 2008.
e Estimation and Testing for Common Cycles, February 2008.
e Estimating C Under Restrictions, February 2008.
e Generalized Impulse Responses, February 2008.

These documents will optionally be installed by the setup program for Windows. Additional notes describing certain algorithms employed by Structural VAR will be made available from this page as well as via the setup program at a later stage.


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Last Updated: November 11, 2011
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