Structural VAR in Eviews
Posted: Mon Jun 27, 2016 3:25 pm
Hi,
I would like to test the effect of oil market shocks on stock market returns using SVAR. I really need help with how to do it in Eviews. So, I implement Killian's oil shock, which disentangles oil shocks into 3 shocks : (supply shock) Global oil prod, (demand shock) economic activity, and (oil-specific demand shock) world's oil price.
I already create VAR estimate, and now I am ready to estimate structural factorization, my question is :
1. How to assign the variables into specific shock, since I also need to do sign restriction (how to do it in eviews?)
2. I want to identify restrictions, using text/matrix, how to do it? and what to write?
Should you have any step-by-step Eviews tutorial of SVAR, specifically in Killian's oil price shocks, I would be very happy if you want to share it with me. Thanks!
I would like to test the effect of oil market shocks on stock market returns using SVAR. I really need help with how to do it in Eviews. So, I implement Killian's oil shock, which disentangles oil shocks into 3 shocks : (supply shock) Global oil prod, (demand shock) economic activity, and (oil-specific demand shock) world's oil price.
I already create VAR estimate, and now I am ready to estimate structural factorization, my question is :
1. How to assign the variables into specific shock, since I also need to do sign restriction (how to do it in eviews?)
2. I want to identify restrictions, using text/matrix, how to do it? and what to write?
Should you have any step-by-step Eviews tutorial of SVAR, specifically in Killian's oil price shocks, I would be very happy if you want to share it with me. Thanks!