Structural VAR: Source code

There are several differences between the MatLab code release and the MatLab stand-alone source release. Both releases are provided as MatLab m-files and both can be run from the MatLab prompt. However, the MatLab code release cannot be compiled into a stand-alone application, while the MatLab stand-alone source release can be compiled. The main reason for this difference is that the MatLab code release uses the MatLab function str2num (which is based on the eval function), while the MatLab source release uses its own function to convert text to numbers.

In addition, the source release uses its own functions to (i) save graphics to files on the hard drive, (ii) print graphics, and (iii) edit graphics, etc. Not surprisingly, the code release is faster than the stand-alone source release when run from within MatLab and when data are read from a text file. otherwise they are on equal terms. A compiled stand-alone release is, however, faster than the code release. The stand-alone source release has much more flexible graphics editing tools than the MatLab code release. Generally, I would therefore also recommend using the source release rather than the MatLab code release if you intend to use the software within MatLab.

Structural VAR, version 0.45, release 2 and 4 - Source code
Release date: 03/06/2008 (second release) and 06/05/2015 (fourth release)

var-matlab-0.45-4.zip: MatLab code release zip-file for Windows. This release is free from executables and should work fine on Windows 7, 8, and 8.1, 32-bit and 64-bit.
Size: 10 575 037 bytes
var-matlab-0.45-2.zip: MatLab code release zip-file for Windows.
Size: 10 622 562 bytes
MD5 signature: 4dee415470d12354d90c190a29e746fa
var-matlab-0.45-2.tar.gz: MatLab code release tar.gz file for UN*X.
Size: 5 113 953 bytes
MD5 signature: d715861aa9461c774c9636083041f029
var-src-0.45-2.zip: Stand-alone matlab source code release zip-file for Windows.
Size: 11 739 173 bytes
MD5 signature: 9b820d116d0c06444b4c8e20eae13102
var-src-0.45-2.tar.gz: Stand-alone matlab source code release tar.gz file for UN*X.
Size: 5 279 193 bytes
MD5 signature: 6313c840fbcace220182e2cb880fc395
svar.nsi-0.45-2.zip: NSIS Script Files to compile the figeditor.exe, svar.exe, download.exe, makedir.exe, seticon.exe, etc., utilities under Windoze. (Requires the Nullsoft Scriptable Install System, version 2.0 or later. The folder.nsi and fileopen.nsi script files also require the Dialogs plugin for compilation (for version 2.2 and later of Dialogs, these scripts need to be edited), while svar.nsi and killicon.nsi require the KillProcDLL plugin; see also the NSIS Wiki archive.)
Size: 426 178 bytes
MD5 signature: 164b4c68fe9dc847fc9990450864aaf6

NOTE: Please make sure that you download the release of Structural VAR code that's intended for your operating system.

If you don't have any fun data to test the program with you can download monthly data on U.S. Treasury bills (1946M12-1987M2) 1-4 months from this page. You can chose between downloading the data in text format (hj-nor0.data.zip) and Lotus 1-2-3 format (hj-nor0.wk1.zip). These data are, e.g., used by Henrik Hansen and Søren Johansen in their study "Some Tests for Parameter Constancy in Cointegrated VAR-models" in Econometrics Journal from 1999. The Nyblom and fluctuation tests (for the non-zero eigenvalues) used in Structural VAR are based on results in that paper and have been verified against their results. You can download their paper from Henrik's homepage.

To launch the code, change directory to where you've unzipped the var-matlab-x.y-z.zip file and write var at the MatLab prompt.

NOTE: If you compile the source code on a different platform or under a different version of MatLab, e.g. version 6.x, please feel free to send me the executable (and the required MatLab libraries, mex-files, and fig files) and I will make them available from this site.

Contents

Structural VAR

Download - Source Code