Sign and zero restrictions in SVAR
Posted: Mon Oct 30, 2017 10:12 am
Please give certain instructions to me about this matter that how can we assign a variable to a certain shock ?
Shall I send my EViews work file?
Actually I am using a SVAR model and I want to disentangle oil shocks from each other . By the way note that all oil shocks are considered structural shocks
So I need to use a way that impose sign and zero restrictions at the same time. According to Killian paper sign restrictions alone are too weak to be informative about oil shocks and we need also shape restrictions and also zero restrictions
Here is kilian’s Paper for more information :
https://www.imf.org/external/np/seminar ... kilian.pdf
Thank you in advance
Shall I send my EViews work file?
Actually I am using a SVAR model and I want to disentangle oil shocks from each other . By the way note that all oil shocks are considered structural shocks
So I need to use a way that impose sign and zero restrictions at the same time. According to Killian paper sign restrictions alone are too weak to be informative about oil shocks and we need also shape restrictions and also zero restrictions
Here is kilian’s Paper for more information :
https://www.imf.org/external/np/seminar ... kilian.pdf
Thank you in advance