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by brightcake
Sun Aug 06, 2017 4:38 am
Forum: Econometric Discussions
Topic: SVAR IRFs, filtering and cointegration questions
Replies: 1
Views: 2941

SVAR IRFs, filtering and cointegration questions

Hi, So i'm trying to estimate the impact of both monetary and oil price shocks on various macroeconomic variables in Norway. I'm employing the use of a SvAR in order to carry out this analysis and I have a number of questions: Firstly, my IRFs seem to come out mostly insignificant for oil price shoc...
by brightcake
Sun Jul 23, 2017 7:53 am
Forum: Econometric Discussions
Topic: SVAR Long & Short run restrictions
Replies: 1
Views: 2885

SVAR Long & Short run restrictions

So i'm currently doing my dissertation where i've decided to follow the methodology of this paper: https://www.snb.ch/n/mmr/reference/working_paper_2013_05/source/working_paper_2013_05.n.pdf. They essentially use US data to build a SVAR which as four shocks: two short and two long-run shocks. I'm cu...

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