Theoretical Foundations of SVAR Modeling

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 principles of constructing confidence intervals for impulse responses are discussed. The paper also discusses the problems associated with non-stationary variables.

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Year of publication:	2015-03
Authors:	Skrobotov, Anton ; Turuntseva, Marina
Institutions:	Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Subject:	structural VAR models (SVAR) \| structural VECM (SVECM) \| impulse responses \| decomposition of the forecast error variances \| the identification of shocks

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Series:	Published Papers.
Type of publication:	Book / Working Paper
Notes:	88 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011265375