SHAZAM Questions and Answers (Q&A) - RSS feedhttp://community.econometrics.com/questions/SHAZAM Econometrics, Statistics and Analytics Communityen<font color="white">Copyright <b>SHAZAM Analytics, 2018</b></font>Wed, 04 Mar 2015 23:29:59 +0000Can you use Shazam to compute impulse response functions and to decompose forecast-error variance?http://community.econometrics.com/question/610/can-you-use-shazam-to-compute-impulse-response-functions-and-to-decompose-forecast-error-variance/ Is there a procedure to do this?Wed, 04 Mar 2015 23:24:29 +0000http://community.econometrics.com/question/610/can-you-use-shazam-to-compute-impulse-response-functions-and-to-decompose-forecast-error-variance/Answer by Daehoon Nahm for <p>Is there a procedure to do this?</p>
http://community.econometrics.com/question/610/can-you-use-shazam-to-compute-impulse-response-functions-and-to-decompose-forecast-error-variance/?answer=611#post-id-611 Hi, Here's a procedure that can be used to compute impulse response functions and to decompose the forecast-error variance. Hope you find it useful.
Firstly, estimate a VECM or VAR using OLS, SYSTEM, or the procedure file JOHANSEN.PRO in conjunction with the input file JOHANSEN.SHA. (Both files are available from Resources > Procedure Library in Shazam, version 11.1.2 or later.) Then, identify the coefficient matrix for y[t], or its inverse, in the structural representation of your model based on the identifying restrictions. (For example, if you assume triangular structure for identification, the Cholesky-decomposition matrix of the variance-covariance matrix of the residuals is the inverse of the coefficient matrix for y[t]. Or, in the simplest case of orthogonal errors, the matrix is an identity matrix.)
Once the coefficients of the structural VAR, reduced-form VAR, or VECM representation of your model is identified, use the following procedure (IMPULSE&VARDEC.PRO), after providing relevant information in the input file, IMPULSE&VARDEC.SHA, to compute the impulse response functions and the proportions of the forecast-error variance due to shocks to the endogenous variables. In a typical case of SVAR analysis, the user would only need the impulse response functions to structural shocks. However, impulse response functions to shocks to the reduced-form residuals are also computed for those who might be interested in them. More explanations are provided in both files. An illustration is provided in IMPULSE&VARDEC-EX.SHA using the data in IMPULSE&VARDEC-EX.DAT.
[input](/upfiles/14255117038494177.sha);
[procedure](/upfiles/14255117266003575.pro);
[example input](/upfiles/14255117416640665.sha);
[example data](/upfiles/14255117717155244.dat)
Wed, 04 Mar 2015 23:29:59 +0000http://community.econometrics.com/question/610/can-you-use-shazam-to-compute-impulse-response-functions-and-to-decompose-forecast-error-variance/?answer=611#post-id-611