Model Selection: VAR Model with Impulse response functions

[kruupy]

Hi all,

I want to conduct a study on the impact of export growth in the automotive industry on the domestic market (prices, production, import etc).

My first thought was to create a VAR model with exports,inflation,prices, production, imports and then conduct an impulse response function analysis and report the results. The model needs to be able to analyse the implications of low, moderate and high export growth in the future on the other variables.

Does this seem right to use this model? - or is there a better model that comes to mind?

[dakila]

Maybe you need Threshold structural VAR model. You can use the thsvar add-in.