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- Sun Jan 13, 2013 7:42 am
- Forum: Estimation
- Topic: How to estmt VAR mnthly prices but VECM of yr-on-yr inflatn
- Replies: 0
- Views: 1944
How to estmt VAR mnthly prices but VECM of yr-on-yr inflatn
I would like to conduct Impulse Response Analysis (and later Variance decomposition) to analyse the response of annual inflation to 'Cholesky (d.f. adjusted) One S.D. Innovations' (shock) on each of the drivers. I am using monthly data (1997M11 2011M12) on retail price index, world oil price, amongs...