Rolling window for VAR

[Lisa Wilson]

Hi
I estimate a structural vector autoregression, imposing long-term restrictions, and estimate the structural shocks below.

My question is how I can adjust my code to produce the structural shocks in a rolling fashion, (1) using a fixed window of say 40 observations, and (2) using recursive i.e., increasing windows with an initial window if 40 obs.

matrix c=(.,0\.,.)
svar Y X, lags(1/4) lreq(c)  
*Get structural shocks
matrix B=e(B)
predict e1, res eq(Y)
predict e2, res eq(X)
mkmat e1 e2, matrix(e)
matrix eta=(inv(B)*e')'
svmat eta

Hope someone can help

[Lisa Wilson]

This has been for a while now so I thought to bring it up.
I think any code that may allow us to estimate vector autoregressions using rolling windows will be a very good step.

I look forward to hearing from you

[Giorgio Di Stefano]

ssc install asreg

[Lisa Wilson]

Thanks, but I am not sure how -asreg- can be used to estimate rolling vector autoregression. I think it is only capable of estimating linear regressions and not structural vector autoregresions.

I hope someone can advise more.

[Giorgio Di Stefano]

Thanks, but I am not sure how -asreg- can be used to estimate rolling vector autoregression. I think it is only capable of estimating linear regressions and not structural vector autoregresions.

I hope someone can advise more.

I'm looking for a similar. Did you find anything?