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Understanding Narrative VAR Shocks

Initially VAR studies used shocks to the equation innovations to derive the impulse responses. Later literature uses "narrative" shocks that are drawn from separate regression analysis. I’m ...
user37250's user avatar
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Romer-Romer shocks in a monetary VAR

I'm trying to better understand implementing Romer-&-Romer monetary shocks in a monetary (S)VAR. If I start with a standard VAR of prices, output and the Federal funds rate, I can do a Cholesky ...
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Spillovers as test of purchasing power parity

Transformed coefficients of a vector autoregressive model (VAR) with up to p lags or VAR(p) yield impulse responses that can be used to produce forecast error variance decompositions, or spillovers, ...
Pavel Filip's user avatar
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What sanity checks to apply to reduced-form VAR model

When you build a vector autoregressive (VAR) model with macroeconomic variables, what sanity checks do you apply before identification? How do you ensure that the estimation/coefficients are ...
Chris tie's user avatar
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Separating VAR results by value of dummy variable

Suppose I have a dataset of this form: it is a time series dataset with some variables $y^1_t$ to $y^n_t$, and some dummy variables $d^1_t$ to $d^m_t$. Suppose I make a VAR model where the variables $...
Ishan Kashyap Hazarika's user avatar