Shocks and decomposition using SVAR

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douggy
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Joined: Thu Mar 06, 2014 9:21 pm

Shocks and decomposition using SVAR

Postby douggy » Thu Mar 06, 2014 10:27 pm

I'm currently working on a study of the second west African monetary zone (WAMZ: made up of The Gambia, Ghana, Guinea, Liberia, Nigeria and Sierra Leone). for consistency of series availability, Guinea and Liberia will be dropped from the analysis. In addition, lack of consistent data for consumer price index, whose growth measures inflation, the GDP deflator is to be used as the proxy. Other series for the study are; gdp growth rate and M2 (broad money).

I'm using EViews 7 for the analyses; and the questions that arise are:
1. How to estimate or obtain shocks(structural disturbance) using SVAR

2. How to extract or calculate the correlation between the supply disturbances.

3. Obtain the size and speed of adjustments.

Regards

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