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Tagged with svar econometrics
4 questions
4
votes
1
answer
74
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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 ...
0
votes
1
answer
90
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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
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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
1
vote
1
answer
204
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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