Abstract
In this chapter we explain how to use estimated Structural VAR models to perform dynamic simulations, via impulse response analysis (section 5.1) and forecast error variance decomposition (section 5.2). After presenting the asymptotic results which are used to obtain confidence bounds around the estimated coefficient, in section 5.3 we present some discussion about the reliability of these asymptotic results in small samples.
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© 1997 Springer-Verlag Berlin · Heidelberg
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Amisano, G., Giannini, C. (1997). Impulse response analysis and forecast error variance decomposition in SVAR modelling. In: Topics in Structural VAR Econometrics. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-60623-6_5
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DOI: https://doi.org/10.1007/978-3-642-60623-6_5
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-64481-8
Online ISBN: 978-3-642-60623-6
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