Structural VAR for oil shock

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Structural VAR for oil shock

Postby camillo » Wed Jan 03, 2018 2:21 am


I'm trying to replicate Kilian's study ("Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market", 2009) about implementing a structural VAR in order to identify an oil shock, but I got some issues because the estimates are different than the original one.

Does anybody could help me, please?

Thanks in advance

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