Structural VAR for oil shock

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

camillo
Posts: 1
Joined: Tue Jan 02, 2018 7:01 am

Structural VAR for oil shock

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

Hi,

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

Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 18 guests