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

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Borradores de Economía; No. 686
Date published
2011-12-20
Date of last update
2011-12-20
Author
Ocampo-Díaz, Sergio
Rodríguez-Niño, Norberto
Document language
spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
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 respo
JEL Codes
C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space ModelsC11 - Bayesian Analysis: GeneralC18 - Methodological Issues: General
Keywords
s-VAR ; B-VAR ; VAR-X ; IRF ; FEVD ; Historical Decomposition ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5703
https://hdl.handle.net/20.500.12134/5703
https://doi.org/10.32468/be.686
https://ideas.repec.org/p/bdr/borrec/686.html
https://ideas.repec.org/p/col/000094/009200.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit