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thank you very much!! :)

so if I understand it correctly, this would be the formula, where u is random disturbance and φ represents the response?

Hi, I am wondering what is the mathematical expression of Impulse Response Function as I can't find it anywhere. Does any of you know it please?

It is monthly data on inflation, real interest rates, real stock returns, and industrial production growth for past 50 years

yes, I did. Hopefully correctly

Hi, I have an unrestricted var model with 4 variables and 14 lags. I have autocorrelation in basically every lag. I tried to take the first difference of the variables but it didn't help. The only way to get rid of it was to include 24 lags but that is way too much. How can I get rid of the autocorr...

someone knows how to do this please? I can't continue working on my thesis until I solve this :(

Hello, I created a VAR model with 4 variables for my thesis, however i need to correct for autocorrelation and heteroskedasticity. I've read that the best way to do it is using Newey-West HAC, which, from what I have read, I can use only if I create my VAR model through GMM. The problem is that I ha...