Search found 3 matches

by Nemster92
Mon Aug 08, 2016 2:37 am
Forum: Econometric Discussions
Topic: VAR, SVAR and IRF
Replies: 2
Views: 3492

Re: VAR, SVAR and IRF

Thanks for the response dakila! Have you done this before? I make the model with my exogenous series as the exogenous variable and it does not appear in my model as a variable. I make the model with my exogenous series as an endogenous variable and it does appear. I assume I'd have to alter the vari...
by Nemster92
Fri Aug 05, 2016 2:49 am
Forum: Econometric Discussions
Topic: VAR, SVAR and IRF
Replies: 2
Views: 3492

VAR, SVAR and IRF

Hey guys, I have estimated this VAR: X_t = A_0 + B(L)X_t-1 + C(L)d_t + e_t A_0: column vector of constants, X_t-1 : column vector of endogenous variables, d_t: column vector of exogenous variables I have used lag length criterion etc. to obtain lag lengths. I am trying to use Impulse Response Functi...
by Nemster92
Thu Jul 28, 2016 3:50 am
Forum: Econometric Discussions
Topic: SVAR lag polynomials
Replies: 0
Views: 2039

SVAR lag polynomials

Hello,

I am attempting to model the SVAR model:
Xt = A0 + A1*t + B(L)*Xt-1 + C(L)dt + et

I'm struggling with the lag polynomials B(L) and C(L) as I'm not sure how to put these in? I'd like B(L) to have 4 lags and C(L) 13

Thank you in advance for your help guys!

Edit: Using Eviews 8

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