insignificant impulse reponses
Posted: Mon Aug 15, 2022 10:13 am
Hi,
I am creating an SVAR model on eviews. My 5 variables include GDP, CPI, Exhange rate, FTSE100, and to measure monetary policy shocks after the financial crisis i have used shadow rates to indicate this. I have tried several techniques such as log() and ln() to transform my data , however i constantly create insignificant impulse responses. I am unsure to whether it is my transformation causing these insignificant results or my general set up of the SVAR model.
Please could someone give me advice either on the steps to take in transforming my data , or with the creation of my SVAR model, or both.
Thanks,
Ben
I am creating an SVAR model on eviews. My 5 variables include GDP, CPI, Exhange rate, FTSE100, and to measure monetary policy shocks after the financial crisis i have used shadow rates to indicate this. I have tried several techniques such as log() and ln() to transform my data , however i constantly create insignificant impulse responses. I am unsure to whether it is my transformation causing these insignificant results or my general set up of the SVAR model.
Please could someone give me advice either on the steps to take in transforming my data , or with the creation of my SVAR model, or both.
Thanks,
Ben