Questions tagged [svar]
The svar tag has no usage guidance.
15 questions
4
votes
1
answer
67
views
Meaning of "structural" in VAR
I'm studying VAR model and I think there are two meanings of "structural" in VAR.
(1) Structural form model
In here, "structural" means the model that error terms are not ...
- 342
1
vote
1
answer
47
views
Counterfactual analysis in SVAR
Counterfactual analysis is used when we want to compare the actual IRF with counterfactual senario IRF. For example, if you want to examine inflation response to oil price shocks just ignoring the ...
- 342
4
votes
1
answer
74
views
SVAR: proof of the $(K^2-K)/2$ restrictions and identifiability?
I'm currently using Structural vector autoregressive models by Kevin Kotzé to learn Vector Autoregression. One of the points that it makes is the following:
the number of restrictions that we need to ...
3
votes
1
answer
203
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 (...
- 361
1
vote
2
answers
545
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
0
votes
1
answer
90
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
0
votes
1
answer
31
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
3
votes
0
answers
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
3
votes
1
answer
220
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
1
answer
204
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
2
votes
1
answer
111
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 ...
- 31
0
votes
1
answer
310
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 ...
- 13
0
votes
0
answers
416
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 ...
- 659
2
votes
1
answer
209
views
Can a subset of variables in a lower triangular Cholesky identification scheme be ordered arbitrarily if we do not care about their shocks?
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 $m_t$ ...
- 659
3
votes
1
answer
4k
views
what is the Intuition behind Cholesky identification in VAR/SVAR
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 ...
- 659