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Theoretical Aspects of Modeling of the SVAR
[Теоретические Аспекты Моделирования Svar]

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  • Skrobotov, Anton (Скроботов, Антон)

    (Russian Presidential Academy of National Economy and Public Administration (RANEPA))

  • Turuntseva, Marina (Турунцева, Марина)

    (Russian Presidential Academy of National Economy and Public Administration (RANEPA))

Abstract

In this paper an overview of methods for the analysis of structural VAR models is provided. The fundamental properties of SVAR models, the estimated parameters, as well as various methods of identifying shocks and pritsnipe construct confidence intervals for impulse responses, are discussed. The paper also discusses the problems associated with non-stationary variables.

Suggested Citation

  • Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Marina (Турунцева, Марина), 2015. "Theoretical Aspects of Modeling of the SVAR [Теоретические Аспекты Моделирования Svar]," Published Papers mak8, Russian Presidential Academy of National Economy and Public Administration.
    • Handle: RePEc:rnp:ppaper:mak8
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    2. И Управления Мир Экономики, 2017. "Байесовский подход к анализу влияния монетарной политики на макроэкономические показатели России. Bayesian approach to the analysis of monetary policy impact on Russian macroeconomics indicators," Мир экономики и управления // Вестник НГУ. Cерия: Cоциально-экономические науки, Socionet;Новосибирский государственный университет, vol. 17(4), pages 53-70.

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    More about this item

    Keywords

    structural VAR models (SVAR); structural VECM (SVECM); impulse responses; decomposition of the forecast error variances; the identification of shocks;
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