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

2011-12-20

Authors

Ocampo-Díaz, Sergio
Rodríguez-Niño, Norberto

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ISSN

ISBN

Document language

spa
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The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

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

Description

JEL Codes

C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
C11 - Bayesian Analysis: General
C18 - Methodological Issues: General

Temática

Keywords

Keywords

s-VAR , B-VAR , VAR-X , IRF , FEVD , Historical Decomposition

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/5703
 https://hdl.handle.net/20.500.12134/5703
 https://ideas.repec.org/p/bdr/borrec/686.html
 https://doi.org/10.32468/be.686

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