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An Introduction to Macroeconometrics: VEC and VAR Models. Chapter 13. Prepared by Vera Tabakova, East Carolina University. Chapter 13: An Introduction to Macroeconometrics: VEC and VAR Models. 13.1 VEC and VAR Models 13.2 Estimating a Vector Error Correction model
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An Introduction to Macroeconometrics: VEC and VAR Models Chapter 13 Prepared by Vera Tabakova, East Carolina University
Chapter 13: An Introduction to Macroeconometrics: VEC and VAR Models • 13.1 VEC and VAR Models • 13.2 Estimating a Vector Error Correction model • 13.3 Estimating a VAR Model • 13.4 Impulse Responses and Variance Decompositions Principles of Econometrics, 3rd Edition
Chapter 13: An Introduction to Macroeconometrics: VEC and VAR Models Principles of Econometrics, 3rd Edition
13.1 VEC and VAR Models Principles of Econometrics, 3rd Edition
13.1 VEC and VAR Models Principles of Econometrics, 3rd Edition
13.1 VEC and VAR Models Principles of Econometrics, 3rd Edition
13.2 Estimating a Vector Error Correction Model Principles of Econometrics, 3rd Edition
13.2.1 Example Figure 13.1 Real Gross Domestic Products (GDP) Principles of Econometrics, 3rd Edition
13.2.1 Example Principles of Econometrics, 3rd Edition
13.2.1 Example Principles of Econometrics, 3rd Edition
13.3 Estimating a VAR Model Figure 13.2 Real GDP and the Consumer Price Index (CPI) Principles of Econometrics, 3rd Edition
13.3 Estimating a VAR Model Principles of Econometrics, 3rd Edition
13.3 Estimating a VAR Model Principles of Econometrics, 3rd Edition
13.4 Impulse Responses and Variance Decompositions • 13.4.1 Impulse Response Functions • 13.4.1a The Univariate Case The series is subject it to a shock of size ν in period 1. Principles of Econometrics, 3rd Edition
13.4.1a The Univariate Case Figure 13.3 Impulse Responses for an AR(1) model (y = .9y(–1)+e) following a unit shock Principles of Econometrics, 3rd Edition
13.4.1b The Bivariate Case Principles of Econometrics, 3rd Edition
13.4.1b The Bivariate Case Principles of Econometrics, 3rd Edition
13.4.1b The Bivariate Case Principles of Econometrics, 3rd Edition
13.4.1b The Bivariate Case Figure 13.4 Impulse Responses to Standard Deviation Shock Principles of Econometrics, 3rd Edition
13.4.2 Forecast Error Variance Decompositions • 13.4.2a The Univariate Case Principles of Econometrics, 3rd Edition
13.4.2 Forecast Error Variance Decompositions • 13.4.2b The Bivariate Case Principles of Econometrics, 3rd Edition
13.4.2 Forecast Error Variance Decompositions • 13.4.2b The Bivariate Case Principles of Econometrics, 3rd Edition
13.4.2 Forecast Error Variance Decompositions • 13.4.2b The Bivariate Case Principles of Econometrics, 3rd Edition
13.4.2 Forecast Error Variance Decompositions • 13.4.2b The Bivariate Case Principles of Econometrics, 3rd Edition
13.4.2 Forecast Error Variance Decompositions • 13.4.2c The General Case • The example above assumes that x and y are not contemporaneously related and that the shocks are uncorrelated. There is no identification problem and the generation and interpretation of the impulse response functions and decomposition of the forecast error variance are straightforward. In general, this is unlikely to be the case. Contemporaneous interactions and correlated errors complicate the identification of the nature of shocks and hence the interpretation of the impulses and decomposition of the causes of the forecast error variance. Principles of Econometrics, 3rd Edition
Keywords • Dynamic relationships • Error Correction • Forecast Error Variance Decomposition • Identification problem • Impulse Response Functions • VAR model • VEC Model Principles of Econometrics, 3rd Edition
Chapter 13 Appendix • Appendix 13A The Identification Problem Principles of Econometrics, 3rd Edition
Appendix 13A The Identification Problem Principles of Econometrics, 3rd Edition
Appendix 13A The Identification Problem Principles of Econometrics, 3rd Edition
