How to estmt VAR mnthly prices but VECM of yr-on-yr inflatn
Posted: Sun Jan 13, 2013 7:42 am
I would like to conduct Impulse Response Analysis (and later Variance decomposition) to analyse the response of annual inflation to 'Cholesky (d.f. adjusted) One S.D. Innovations' (shock) on each of the drivers.
I am using monthly data (1997M11 2011M12) on retail price index, world oil price, amongst others variables. I would like to use annualized (12th lag) inflation series for Impulse analysis but cannot figure out how to do this. Does anyone know how to do it?
Note: I have already found that the VAR has k=8 lags.
I am using EViews 7.2.
I am using monthly data (1997M11 2011M12) on retail price index, world oil price, amongst others variables. I would like to use annualized (12th lag) inflation series for Impulse analysis but cannot figure out how to do this. Does anyone know how to do it?
Note: I have already found that the VAR has k=8 lags.
I am using EViews 7.2.