# Questions tagged [svar]

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### MSVAR with predetermined regimes

Suppose I have a VAR model that relates income, consumption and investment. And suppose I want the parameters to vary by the political party in power: A, B or C. As far as I know, Markov Switching VAR ...
108 views

### Cholesky Ordering in Monetary VAR

In some papers in monetary economics (see below), I've seen used a 4-equation VAR with log industrial production, log consumer price index, the federal funds rate (FFR), and the excess bond premium (...
• 331
1 vote
320 views

### What is ordering of the variables in a SVAR model

I am currently working on my dissertation where I try to analyze how macroeconomic shocks affect firms financing decisions. The research paper that I am currently reading says: "Overall, this ...
• 11
79 views

### How to assess the quality of a forecast?

Let's say I have a time series model (VAR model for example). How can I know that my forecast is good ? I could use the R2 but is there something else? I also know I could just use in sample ...
• 457
30 views

### Which variable keep/get rid in a time series model?

Let s say I have a big VAR model with many variables. Then I run the model. How can I know which variables I should keep or get rid of if I want to ameliorate my model ? What if my model has so many ...
• 457
73 views

### MLE on Structural VAR / DSGE

I have a simple DSGE model that I wish to fit using data. The model is of the form: \begin{gather} y_t = -\lambda r_t + \theta a_t + \varepsilon_1 \\ \\ \pi_t = \pi_{t-1} + w y_t + \varepsilon_2 \\ \\ ...
• 111
141 views

### SVAR causal interpretation: shock effects vs effects between variables

Consider a structural vector autoregressive (SVAR) model. One way to define a SVAR model is \begin{aligned} B_0 y_t = B_1 y_{t-1} + \cdots + B_p y_{t-p} + \omega_t \quad (1) \ , \end{aligned} ...
• 111
1 vote
177 views

### Cholesky Identification in Structural VAR

Can you suggest me a framework in macroeconomics or finance where identification of a Structural VAR model through Cholesky ordering is still considered credible (in your opinion)? I'm looking for a ...
• 223
71 views

### Can I test the impulse response function only for the variables which are Granger cause?

I have a VAR(1) model with 10 variables. I want to check what is Granger causality and examine impulse response function. Let's say that I have equation for variable Y, X is a Granger cause for Y, Z ...
234 views

### Stationary vs. Non-stationary data in a BVAR model

I am replicating a paper using BVAR model and I first I have run the model with non-stationary data. Then I just wanted to compare the results with stationary data and I launched the model but I get ...
380 views

### How to estimate a non-resursive SVAR in Eviews/Stata?

I came across this text that seems to estimate a non-recursive SVAR in Eviews, but the restrictions are kinda different from what I expected. In their recursive SVAR, they have the following results ...
For example, in a three-variable SVAR model in Favero, C. A. (2001), the author uses Cholesky decomposition to identify only money shocks by ordering it last. Thus, both $p_t$ and $y_t$ affect $m_t$ ...
In my understanding of Cholesky identification, $RF$ in the model below should be ordered last since it is contemporaneously affected by all variables in the model. So why does Leeper EM, Sims CA, Zha ...