Is there any example code for SVAR with sign restrictions?
The paper "Inference for VARs Identiﬁed with Sign Restrictions" by Moon, Schorfheide and Granziera has available GAUSS code to download. The code can be found at this link.
Thank you very much. Among the examples of zips, I would like to first run the files in PureSignBayes.
And the main code (vb_postdraws.g ) starts as below.
But an error came out because vb_spec.g uses an library; the first command of vb_spec.g is dlibrary -a PszTgSen,PsdTgSen;
So how can I find the library? Please let me know! Thank you very much.
PszTgSen and PsdTgSen are DLL's that are included in some other code from Dr. Schorfheide's website. However, this code (at least the code in PureSignBayes.zip) does not actually reference these DLL's. So you should be able to comment out the dlibrary line.
If you run into a need for these DLL's at some point, the original files from Dr. Schorfheide's website are only for 32-bit Windows. Aptech has created a version for 64-bit Windows and will provide it freely. Just send in a request on the "Contact Us" page of this website.