IRIS Toolbox Reference Manual

## SVAR

Convert reduced-form VAR to structural VAR

#### Syntax

    [S,DATA,B,COUNT] = SVAR(V,DATA,...)

#### Input arguments

- `V` [ VAR ] - Reduced-form VAR object.

- `DATA` [ struct | tseries ] - Data associated with the input VAR object.

#### Output arguments

- `S` [ VAR ] - Structural VAR object.

- `DATA` [ struct | tseries ] - Data with transformed structural residuals.

- `B` [ numeric ] - Impact matrix of structural residuals.

- `COUNT` [ numeric ] - Number of draws actually performed (both successful and unsuccessful) when `'method'='draw'`; otherwise `COUNT=1`.

#### Options

- `'maxIter='` [ numeric | `0` ] - Maximum number of attempts when `'method'='draw'`.

- `'method='` [ `'chol'` | `'householder'` | `'qr'` | `'svd'` ] - Method that will be used to identify structural VAR and structural shocks.

- `'nDraw='` [ numeric | `0` ] - Target number of successful draws when `'method'='draw'`.

- `'reorder='` [ numeric | empty ] - Reorder VAR variables before identifying structural shocks, and bring the variables back in original order afterwards. Use the option '`backorderResiduals='` to control if also the structural shocks are to be brought back in original order.

- `'output='` [ `'auto'` | `'dbase'` | `'tseries'` ] - Format of output data.

- `'progress='` [ `true` | `false` ] - Display progress bar in the command window.

- `'rank='` [ numeric | `Inf` ] - Reduced rank of the covariance matrix of structural residuals when `'method=' 'svd'`; `Inf` means full rank is preserved.

- `'backOrderResiduals='` [ `true` | `false` ] - Bring the identified structural shocks back in original order after identification; works with `'reorder='`.

- `'std='` [ numeric | `1` ] - Std deviation of structural residuals; the resulting structural covariance matrix will be re-scaled (divided) by this factor.

- `'test='` [ char ] - Works with `'method=draw'` only; a string that will be evaluated for each random draw of the impact matrix `B`. The evaluation must result in `true` or `false`; only the matrices `B` that evaluate to `true` will be kept. See Description for more on how to write the option `'test='`.

#### Description

##### Identification random Householder transformations

The structural impact matrices `B` are randomly generated using a Householder transformation algorithm. Each matrix is tested by evaluating the `test` string supplied by the user. If it evaluates to true the matrix is kept and one more SVAR parameterisation is created, if it is false the matrix is discarded.

The `test` string can refer to the following characteristics:

- `S` -- the impulse (or shock) response function; the `S(i,j,k)` element is the response of the `i`-th variable to the `j`-th shock in period `k`.

- `Y` -- the asymptotic cumulative response function; the `Y(i,j)` element is the asumptotic (long-run) cumulative response of the `i`-th variable to the `j`-th shock.

#### Example

IRIS Toolbox. Copyright © 2007—2013 Jaromir Benes.