A Spectral Decomposition for Structural VAR Models

Alfred Stiassny

Empirical Economics, 1996, vol. 21, issue 4, 535-55

Abstract: Based on structural VARs, this paper proposes a spectral decomposition which allows to infer the effects of changes in one variable on the other variables in the frequency domain. It is shown that there is a close relationship between this concept and conventional forecast error variance decomposition techniques for VARs. An empirical example demonstrates the usefulness of this additional tool in analyzing the relationships among time series.

Date: 1996
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