Sign restrictions on structural VARs

Specific Domains Finance and Economics
1

Good morning,

I’m curious how far Julia has gotten with libraries to estimate various types of (S)VAR models?

For example, is there a library that implements sign restrictions? I couldn’t find anything by searching.

2

Did you try searching here: JuliaHub

3

Thanks for the tip, that looks like a good resource. At least a bunch of packages have parts of what I need.

4

Hi @donk_fish,

Maybe not precisely what you’re looking for, but we have a package for state space time series models: GitHub - LAMPSPUC/StateSpaceModels.jl: StateSpaceModels.jl is a Julia package for time-series analysis using state-space models.. We don’t have restrictions such as the one you mentioned implemented currently, but maybe it interests you.

1 Like
5

Thanks, that’s at least one of the necessary building blocks! Maybe it’s not that hard to extend it/make a new lib on top with common VAR stuff. If I’m ever inspired and have the time. The allure of plug’n’play is the only thing that keeps me going back to R.

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6

@donk_fish
Here is a link to Julia code for sign-restricted VAR:

You’re gonna have to update it a little so it works w/ the latest Julia.

See my note up the TS ecosystem: