svartools

Stata tools for simulating and visualizing structural VAR models.

Installation

net install svartools, from("https://raw.githubusercontent.com/EconSolider/svartools/main/") replace

To update later:

ado update svartools

To uninstall:

ado uninstall svartools

Commands

• sim_svar — simulate SVAR(p) time series via Mata
• irf_dualband — plot impulse responses with dual confidence bands
• midasreg — conduct mixed data sampling regression (series with multiple frequency)

After installing, see help sim_svar and help irf_dualband.

Example

matrix A   = (1, 0 \ 0.5, 1)
matrix Phi = (0.6, 0.1 \ 0.2, 0.7)
sim_svar, nvars(2) lags(1) coef(Phi) amat(A) nobs(500)

var y1 y2, lags(1)
svar y1 y2, lags(1) aeq(...) beq(...)
irf create svar1, set(myirf, replace) step(36)

irf_dualband, irffile("myirf.irf") impulse(y1) response(y2) ///
              irfname(svar1) normalize

Example Output

License

MIT