How to make a Structural Vector Autoregression model in Eviews?
- variable hierarchy;
- residual diagnostics;
- Cholesky's short-term restriction and Blanchard-Quah's long-term restriction;
- structure of F-matrix containing long-term effects (or the S for short-term);
- +/-1 S.E. 68% confidence interval;
- exporting the impulse response and the variance decomposition to Excel;
- VAR script for in Eviews:
var var1.ls 1 4 infl_gap output_gap _10Y EURXDR @ c dummy_EZ_rec
var1.impulse(a, imp=struct, se=a, smat=myimpulse) _10Y @imp 1 2 3 4
var1.decomp(g, imp=struct, smat=mydecomp) _10Y
- Please cite:
Kiss, Gábor Dávid ; Tanács, Gábor Zoltán ; Lippai-Makra, Edit ; Rácz, Tamás (2020): Last Resort: European Central Bank's Permanent Engagement in Tackling Foreign Exchange Liquidity Disruptions in the Euro Area Banking System. FINANCIAL AND ECONOMIC REVIEW 19 : 4 pp. 83-106.
doi.org/10.3389...
Негізгі бет A step by step guide for SVAR (in Eviews)
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