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SVAR Analysis in R by Mohamed Nachid by Mohamed Djellouli is a document available to read on EtoBox.
What is SVAR Analysis in R by Mohamed Nachid about?
The document describes performing a structural vector autoregression (SVAR) analysis in R. It includes: 1) Loading data on output gap, inflation, and interest rates from 2000-2020; creating time series objects. 2) Conducting unit root and lag order selection tests to identify an appropriate VAR model. 3) Estimating a SVAR model with zero restrictions on the A matrix and generating impulse response functions showing the effect of shocks to output gap and inflation. 4) Producing a forecast error varianc
- Author
- Mohamed Djellouli
- Language
- EN