Structural VAR for oil shock
Posted: Wed Jan 03, 2018 2:21 am
Hi,
I'm trying to replicate Kilian's study ("Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market", 2009) about implementing a structural VAR in order to identify an oil shock, but I got some issues because the estimates are different than the original one.
Does anybody could help me, please?
Thanks in advance
I'm trying to replicate Kilian's study ("Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market", 2009) about implementing a structural VAR in order to identify an oil shock, but I got some issues because the estimates are different than the original one.
Does anybody could help me, please?
Thanks in advance