Stata 15 help for irf create

[TS] irf create -- Obtain IRFs, dynamic-multiplier functions, and FEVDs

Syntax

After var

irf create irfname [, var_options]

After svar

irf create irfname [, svar_options]

After vec

irf create irfname [, vec_options]

After arima

irf create irfname [, arima_options]

After arfima

irf create irfname [, arfima_options]

irfname is any valid name that does not exceed 15 characters.

var_options Description ------------------------------------------------------------------------- Main set(filename[, replace]) make filename active replace replace irfname if it already exists step(#) set forecast horizon to #; default is step(8) order(varlist) specify Cholesky ordering of endogenous variables estimates(estname) use previously stored results estname; default is to use active results

Std. errors nose do not calculate standard errors bs obtain standard errors from bootstrapped residuals bsp obtain standard errors from parametric bootstrap nodots do not display "." for each bootstrap replication reps(#) use # bootstrap replications; default is reps(200) bsaving(filename[, replace]) save bootstrap results in filename -------------------------------------------------------------------------

svar_options Description ------------------------------------------------------------------------- Main set(filename[, replace]) make filename active replace replace irfname if it already exists step(#) set forecast horizon to #; default is step(8) estimates(estname) use previously stored results estname; default is to use active results

Std. errors nose do not calculate standard errors bs obtain standard errors from bootstrapped residuals bsp obtain standard errors from parametric bootstrap nodots do not display "." for each bootstrap replication reps(#) use # bootstrap replications; default is reps(200) bsaving(filename[, replace]) save bootstrap results in filename -------------------------------------------------------------------------

vec_options Description ------------------------------------------------------------------------- Main set(filename[, replace]) make filename active replace replace irfname if it already exists step(#) set forecast horizon to #; default is step(8) estimates(estname) use previously stored results estname; default is to use active results -------------------------------------------------------------------------

arima_options Description ------------------------------------------------------------------------- Main set(filename[, replace]) make filename active replace replace irfname if it already exists step(#) set forecast horizon to #; default is step(8) estimates(estname) use previously stored results estname; default is to use active results

Std. errors nose do not calculate standard errors -------------------------------------------------------------------------

arfima_options Description ------------------------------------------------------------------------- Main set(filename[, replace]) make filename active replace replace irfname if it already exists step(#) set forecast horizon to #; default is step(8) smemory calculate short-memory IRFs estimates(estname) use previously stored results estname; default is to use active results

Std. errors nose do not calculate standard errors -------------------------------------------------------------------------

The default is to use asymptotic standard errors if no options are specified. irf create is for use after fitting a model with the var, svar, vec, arima, or arfima command; see [TS] var, [TS] var svar, [TS] vec, [TS] arima, and [TS] arfima. You must tsset your data before using var, svar, vec, arima, or arfima and, hence, before using irf create; see [TS] tsset.

Menu

Statistics > Multivariate time series > IRF and FEVD analysis > Obtain IRFs, dynamic-multiplier functions, and FEVDs

Description

irf create estimates multiple sets of impulse-response functions (IRFs), dynamic-multiplier functions, and forecast-error variance decompositions (FEVDs). All of these estimates and their standard errors are known collectively as IRF results and are saved in an IRF file under a specified filename. Once you have created a set of IRF results, you can use the other irf commands to analyze them.

Options

+------+ ----+ Main +-------------------------------------------------------------

set(filename[, replace]) specifies the IRF file to be used. If set() is not specified, the active IRF file is used; see [TS] irf set.

If set() is specified, the specified file becomes the active file, just as if you had issued an irf set command.

replace specifies that the results saved under irfname may be replaced, if they already exist. IRF results are saved in files, and one file may contain multiple IRF results.

step(#) specifies the step (forecast) horizon; the default is eight periods.

order(varlist) is allowed only after estimation by var; it specifies the Cholesky ordering of the endogenous variables to be used when estimating the orthogonalized IRFs. By default, the order in which the variables were originally specified on the var command is used.

smemory is allowed only after estimation by arfima; it specifies that the IRFs are calculated based on a short-memory model with the fractional difference parameter d set to zero.

estimates(estname) specifies that estimation results previously estimated by var, svar, or vec, and stored by estimates, be used; see [R] estimates. This option is rarely specified.

+-------------+ ----+ Std. errors +------------------------------------------------------

nose, bs, and bsp are alternatives that specify how (whether) standard errors are to be calculated. If none of these options is specified, asymptotic standard errors are calculated, except in two cases: after estimation by vec and after estimation by svar in which long-run constraints were applied. In those two cases, the default is as if nose were specified, although in the second case, you could specify bs or bsp. After estimation by vec, standard errors are simply not available.

nose specifies that no standard errors be calculated.

bs specifies that standard errors be calculated by bootstrapping the residuals. bs may not be specified if there are gaps in the data.

bsp specifies that standard errors be calculated via a multivariate-normal parametric bootstrap. bsp may not be specified if there are gaps in the data.

nodots, reps(#), and bsaving(filename[, replace]) are relevant only if bs or bsp is specified.

nodots specifies that dots not be displayed each time irf create performs a bootstrap replication.

reps(#), # > 50, specifies the number of bootstrap replications to be performed. reps(200) is the default.

bsaving(filename[, replace]) specifies that file filename be created and that the bootstrap replications be saved in it. New file filename is just a .dta dataset that can be loaded later using use. If filename is specified without an extension, .dta is assumed.

Remarks

irf create estimates several types of IRFs, dynamic-multiplier functions, and FEVDs. Which estimates are saved depends on the estimation method previously used to fit the model, as summarized in the table below:

Estimation command Saves arima arfima var svar vec ------------------------------------------------------------- simple IRFs x x x x x orthogonalized IRFs x x x x x dynamic multipliers x cumulative IRFs x x x x x cumulative orthogonalized IRFs x x x x x cumulative dynamic multipliers x structural IRFs x x x

Cholesky FEVDs x x x structural FEVDs x -------------------------------------------------------------

Examples

--------------------------------------------------------------------------- Setup . webuse lutkepohl2

Fit a vector autoregressive model . var dln_inv dln_inc dln_consump if qtr<=tq(1978q4), lags(1/2) dfk

Estimate IRFs and FEVDs and save under order1 in myirf1.irf . irf create order1, set(myirf1)

Same as above, but set forecast horizon to 10 and save under order1b . irf create order1b, step(10) set(myirf1)

--------------------------------------------------------------------------- Setup . webuse urates

Fit a vector error-correction model . vec missouri indiana kentucky illinois, trend(rconstant) rank(2) lags(4)

Estimate IRFs and FEVDs using 50 as forecast horizon and save under vec1 in vecirfs.irf . irf create vec1, step(50) set(vecirfs) ---------------------------------------------------------------------------


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