Theoretical Aspects of Modeling of the SVAR
Теоретические аспекты моделирования SVAR
Skrobotov, Anton (Скроботов, Антон) () and
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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
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)
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Persistent link: https://EconPapers.repec.org/RePEc:rnp:ppaper:mak8
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