Variable interaction in VAR
Posted: Fri Apr 10, 2015 11:20 am
Good afternoon,
I'm estimating a VAR model and am wondering if there is any way to add a variable that interact with another variable. That is, given the variable vector below:
y=(Raw materials, Credibility, 12m GDP,
Output gap, Persistency, ER variation, ER volatility, Inflation)’
What I am estimating here is the exchange rate pass-through to inflation. But I would like to add a measure that concerns the interaction between Persistency and the ERPT itself (which is the response of Inflation to an impulse in the ER variation). Is this possible?
Thanks!
I'm estimating a VAR model and am wondering if there is any way to add a variable that interact with another variable. That is, given the variable vector below:
y=(Raw materials, Credibility, 12m GDP,
Output gap, Persistency, ER variation, ER volatility, Inflation)’
What I am estimating here is the exchange rate pass-through to inflation. But I would like to add a measure that concerns the interaction between Persistency and the ERPT itself (which is the response of Inflation to an impulse in the ER variation). Is this possible?
Thanks!