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Hello, I would like to estimate a VAR with two endogenous variables: X1 & X2. X1 is present in the sample; X2 is added later in the sample. I'd like to see if presence of X2 affects X1. I considered an intervention (dummy) variable to be treated as exogenous: 0 for when x2 is not present, 1 if p...

I have two models estimated via GMM, how do I compare them? Presumably with AIC, BIC (which is the case for OLS). However, information criterion is not provided in the output (information criteria is provided with OLS). Is there a way to get the information criteria using GMM methods? If information...

Thanks for the reply, very helpful, but raises a different question. The link to the forum justifies estimating a VAR in levels. However, is it still reasonable to estimate a VAR in differences? I am confused. There are two IMF papers which are based on similar models however justify a levels ("...

I am estimating a 5 variable equation: gdp, cpi, monetary policy rate, money, exchange rate My focus is on short run dynamics, and will allow cointegrating relationships in the data (dataset is short). Every variable is non-stationary. First differences achieves stationarity for gdp, monetary policy...