An Introductory Review of a Structural VAR-X Estimation and Applications

Sergio Ocampo and Norberto Rodríguez N. ()

Borradores de Economia from Banco de la Republica de Colombia

Abstract: This document presents how to estimate and implement a structural VAR-X model under long run and impact identification restrictions. Estimation by bayesian and maximum likelihood methods is 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 HPD regions in a bayesian context. Some of the concepts are exemplified with an application to US data.

Keywords: S-VAR; B-VAR; VAR-X; IRF; FEVD; Historical Decomposition. (search for similar items in EconPapers)
JEL-codes: C11 C18 C32 (search for similar items in EconPapers)
Pages: 24
Date: 2011-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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https://doi.org/10.32468/be.686 (application/pdf)

Related works:
Working Paper: An Introductory Review of a Structural VAR-X Estimation and Applications (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:bdr:borrec:686

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