Search found 2 matches
- 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...
- 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...