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An Introductory Review of a Structural VAR-X Estimation and Applications

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  • Sergio Ocampo

    ()

  • Norberto Rodríguez

    ()

Abstract

This document presents how to estimate and implement a structural VAR-X model under long run and impact identification restrictions. Estimation by bayesian and maximum likelihood methods is presented. Applications of the structural VAR-X for impulse response functions to structural shocks, multiplier analysis of the exogenous variables, forecast error variance decomposition and historical decomposition of the endogenous variables are also described, as well as a method for computing HPD regions in a bayesian context. Some of the concepts are exemplified with an application to US data.

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Bibliographic Info

Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 686.

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Length: 24
Date of creation: Dec 2011
Date of revision:
Handle: RePEc:bdr:borrec:686

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Keywords: S-VAR; B-VAR; VAR-X; IRF; FEVD; Historical Decomposition. Classification JEL: C11; C18; C32.;

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References

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  1. Frank Smets & Rafael Wouters, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," American Economic Review, American Economic Association, American Economic Association, vol. 97(3), pages 586-606, June.
  2. Christopher A. Sims & Tao Zha, 1994. "Error Bands for Impulse Responses," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1085, Cowles Foundation for Research in Economics, Yale University.
  3. Andrew Mountford & Harald Uhlig, 2009. "What are the effects of fiscal policy shocks?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 24(6), pages 960-992.
  4. Runkle, David E, 1987. "Vector Autoregressions and Reality," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 5(4), pages 437-42, October.
  5. Kadiyala, K. Rao & Karlsson, Sune, 1994. "Numerical Aspects of Bayesian VAR-modeling," Working Paper Series in Economics and Finance 12, Stockholm School of Economics.
  6. Kocięcki, Andrzej, 2010. "A Prior for Impulse Responses in Bayesian Structural VAR Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 28(1), pages 115-127.
  7. Lutz Kilian, 1998. "Small-Sample Confidence Intervals For Impulse Response Functions," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 218-230, May.
  8. Bauwens, Luc & Lubrano, Michel & Richard, Jean-Francois, 2000. "Bayesian Inference in Dynamic Econometric Models," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198773139, October.
  9. David E. Runkle, 1987. "Vector autoregressions and reality," Staff Report, Federal Reserve Bank of Minneapolis 107, Federal Reserve Bank of Minneapolis.
  10. Thomas B. King & James Morley, 2005. "In search of the natural rate of unemployment," Supervisory Policy Analysis Working Papers, Federal Reserve Bank of St. Louis 2005-05, Federal Reserve Bank of St. Louis.
  11. Runkle, David E, 1987. "Vector Autoregressions and Reality: Reply," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 5(4), pages 454, October.
  12. Fabio Canova & Evi Pappa, 2007. "Price Differentials in Monetary Unions: The Role of Fiscal Shocks," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 117(520), pages 713-737, 04.
  13. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, Econometric Society, vol. 48(1), pages 1-48, January.
  14. Lutkepohl, Helmut, 1990. "Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models," The Review of Economics and Statistics, MIT Press, vol. 72(1), pages 116-25, February.
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Cited by:
  1. Juan José Echavarría & Enrique López & Sergio Ocampo & Norberto Rodríguez, 2011. "Choques, instituciones laborales y desempleo en Colombia," BORRADORES DE ECONOMIA 009154, BANCO DE LA REPÚBLICA.

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