An Introductory Review of a Structural VAR-X Estimation and Applications
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| Natura: | Artículo científico |
| Lingua: | en |
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Universidad Nacional de Colombia
2012
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| _version_ | 1876427745510031360 |
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| author | Sergio Ocampo |
| author_facet | Sergio Ocampo |
| contents | An Introductory Review of a Structural VAR-X Estimation and Applications Sergio Ocampo Norberto Rodríguez Física, Astronomía y Matemáticas Econometrics Structural model Bayesian time series Vector autoregression This document presents how to estimate and implement a structural VAR-X model under long run and impact identification restrictions. Estimation by Bayesian and classical methods are 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 higher posterior density regions in a Bayesian context. Some of the concepts are exemplified with an application to US data. 2012 artículo científico 0120-1751 https://www.redalyc.org/articulo.oa?id=89925367003 en http://www.redalyc.org/revista.oa?id=899 Revista Colombiana de Estadística application/pdf Universidad Nacional de Colombia Revista Colombiana de Estadística (Colombia) Num.3 Vol.35 |
| format | Artículo científico |
| id | redalyc_89925367003 |
| institution | Redalyc |
| language | en |
| publishDate | 2012 |
| publisher | Universidad Nacional de Colombia |
| spellingShingle | An Introductory Review of a Structural VAR-X Estimation and Applications Sergio Ocampo Física, Astronomía y Matemáticas Econometrics Structural model Bayesian time series Vector autoregression An Introductory Review of a Structural VAR-X Estimation and Applications Sergio Ocampo Norberto Rodríguez Física, Astronomía y Matemáticas Econometrics Structural model Bayesian time series Vector autoregression This document presents how to estimate and implement a structural VAR-X model under long run and impact identification restrictions. Estimation by Bayesian and classical methods are 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 higher posterior density regions in a Bayesian context. Some of the concepts are exemplified with an application to US data. 2012 artículo científico 0120-1751 https://www.redalyc.org/articulo.oa?id=89925367003 en http://www.redalyc.org/revista.oa?id=899 Revista Colombiana de Estadística application/pdf Universidad Nacional de Colombia Revista Colombiana de Estadística (Colombia) Num.3 Vol.35 |
| title | An Introductory Review of a Structural VAR-X Estimation and Applications |
| topic | Física, Astronomía y Matemáticas Econometrics Structural model Bayesian time series Vector autoregression |
| url | https://www.redalyc.org/articulo.oa?id=89925367003 |