English, Article, Journal or magazine article edition: Extensions to -var- and -svar- estimation Michael Hanson; Yingzhe Zhao

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/176277
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Extensions to -var- and -svar- estimation
Author
  • Michael Hanson
  • Yingzhe Zhao
Physical Description
  • preprint
Notes
  • We develop packages to support computation of historical decompositions in (S)VAR models in Stata, and to extend the estimation of impulse response functions. Specifically, we compute cumulative structural impulse responses, which are useful for SVAR models that rely on long-run restrictions. While such models typically are estimated in differences, the responses of the levels of the endogenous variables to the identified structural innovations (that is, the cumulative structural impulse responses) are most often of theoretical interest. We also allow an option to relax the default assumption of symmetry when computing bootstrapped error bands for the impulse response functions. Additionally, we develop a package to compute the historical decompositions of the variables in a SVAR, as a function of the estimated structural shocks. Used in conjunction with the previous package, one can compute historical decompositions for the levels of variables from a long-run SVAR model estimated in first differences. An application to the determination of the equilibrium Chinese real exchange rate will be shown.
  • RePEc:boc:asug07:9
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment