Theoretical Aspects of Modeling of the SVAR

Теоретические аспекты моделирования SVAR

Skrobotov, Anton (Скроботов, Антон) () and Marina Turuntseva
Additional contact information
Skrobotov, Anton (Скроботов, Антон): Russian Presidential Academy of National Economy and Public Administration (RANEPA)

Published Papers from Russian Presidential Academy of National Economy and Public Administration

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.

Keywords: structural VAR models (SVAR); structural VECM (SVECM); impulse responses; decomposition of the forecast error variances; the identification of shocks (search for similar items in EconPapers)
Pages: 88 pages
Date: 2015-03
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://repec.ranepa.ru/rnp/ppaper/mak8.pdf
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rnp:ppaper:mak8

Access Statistics for this paper

More papers in Published Papers from Russian Presidential Academy of National Economy and Public Administration Contact information at EDIRC.
Bibliographic data for series maintained by RANEPA maintainer ().