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    The document is about understanding the Structural Vector Autoregression (SVAR) model. A SVAR differs from a simple Vector Autoregression (VAR) model in that it imposes restrictions on the relationships between variables based on economic theory, while treating the remaining dynamics as exogenous shocks. A SVAR is more appropriate than a simple VAR when the researcher wants to identify exogenous shocks and their impacts based on prior economic assumptions, rather than just identifying the coefficients of lagged variables as in a simple VAR.

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    Time Series - Understanding the SVAR Model - Cross Validated

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    The document is about understanding the Structural Vector Autoregression (SVAR) model. A SVAR differs from a simple Vector Autoregression (VAR) model in that it imposes restrictions on the relationships between variables based on economic theory, while treating the remaining dynamics as exogenous shocks. A SVAR is more appropriate than a simple VAR when the researcher wants to identify exogenous shocks and their impacts based on prior economic assumptions, rather than just identifying the coefficients of lagged variables as in a simple VAR.

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    © All Rights Reserved
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    25 views1 page

    Time Series - Understanding The SVAR Model - Cross Validated

    Uploaded by

    ababacarba
    The document is about understanding the Structural Vector Autoregression (SVAR) model. A SVAR differs from a simple Vector Autoregression (VAR) model in that it imposes restrictions on the relationships between variables based on economic theory, while treating the remaining dynamics as exogenous shocks. A SVAR is more appropriate than a simple VAR when the researcher wants to identify exogenous shocks and their impacts based on prior economic assumptions, rather than just identifying the coefficients of lagged variables as in a simple VAR.

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    Download as PDF, TXT or read online from Scribd
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    timeseriesUnderstandingtheSVARmodelCrossValidated

    20/3/2015

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    Takethe2minutetour

    UnderstandingtheSVARmodel
    IhavedifficultyunderstandingtheStructuralVectorAutoregression(SVAR).Ihavesomebooksaboutit,andhavereadthem,butstill
    cannotgrasptheideabehindthatconcept.CansomeoneexplainmethedistinctivenessofSVARcomparedtoaVARinsimplewords?In
    whichsituationsisaSVARmoreappropriatethanasimpleVAR?
    timeseries

    askedSep18'13at19:31
    RStudent
    597

    14

    StockandWatsonhaveagoodpaperonthis:VectorAutoregressionsJournalofEconomicPerspectivesVolume
    15,Number4Fall2001Pages101115.Pressedfortime.Mayansweratlaterstage.GraemeWalshSep18
    '13at19:48

    1Answer
    AccordingtoLtkepohl'sAppliedTimeSeriesEconometrics,thedifferencebetweensimpleVAR
    andstructuralVARisthatinsteadofidentifyingthecoefficients,identificationfocusesonthe
    errorsofthesystem,whichareinterpretedas(linearcombinationsof)exogenousshocks.
    Restrictionsbasedonthetheoryisimposedontherelationsbetweenthevariablesandtherest
    ofvariabledynamicsareconsideredexogenousshocks.InasimpleVARnorestrictionsare
    imposedinadvanceandthecoefficientsofthelaggedvaluesofthevariablesincludedare
    identified.
    Soinonesentence,inaSVARrestrictionsareimposedonthevariabledynamicsbeforehand
    andtherestisconsideredexogenousshocks,whileintheVARthecoeffientsofthelagsare
    identified.
    Istronglyrecommendthisbook:H.L
    utkepohl&M.Kr
    atzig.AppliedTimeSeriesEconometrics.
    CambridgeUniversityPress,TheEdinburghBuilding,CambridgeCB22RU,UK,2004.
    answeredSep18'13at20:36
    fredrikhs
    818

    17

    http://stats.stackexchange.com/questions/70418/understandingthesvarmodel

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