*==============================================================================*
* Advanced Applied Econometrics
* Jakub Muck 
* Example of VAR models 

* importing data
clear all 
use "http://web.sgh.waw.pl/~jmuck/AAE/Datasets/VAR1.dta"

* 0. data preparation 
sort date
gen t=_n
tsset t 
* 1. baseline var model 
var FFR UNRATE infl 
* var model with 12 lags 
var FFR UNRATE infl, lags(1/12) 
* normality of the error term 
varnorm 
* serial correlation 
varlmar, mlag(12)
* stability 
varstable 

* 2. Cholesky decomposition/ orthogonalized IRFs  
irf create myirf, step(60) set(myirf,replace)
irf graph oirf 
irf graph fevd

* 3. The AB SVAR model 
matrix A=(.,0,0\.,.,0\.,.,.)
matrix B=(1,0,0\0,1,0\0,0,1)
svar FFR UNRATE infl,  aeq(A) beq(B) 
irf create myirf, step(60) set(myirf,replace)
irf graph sirf 
irf graph sfevd

* 4. Long-run restrictions 
clear all 
use "http://web.sgh.waw.pl/~jmuck/AAE/Datasets/VAR2.dta"
sort date
gen t=_n
tsset t 
matrix LR=(.,0\.,.)
svar dY UNRATE, lags(1/8) lreq(LR)
irf create myirf, step(60) set(myirf,replace)
irf graph sirf 
irf graph sfevd