Econometric Modelling with Time Series

Specification, Estimation and Testing

PART FOUR: Stationary Time Series

Chapter 14: Structural Vector Autoregressions

(1) Different Ways to Impose Restrictions

svar_bivariate.g svar_bivariate.m svar_bivariate.R

peersman_data.dat peersman.mat peersman_data.Rdata

(2) A Model of Interest Rates with Short-Run Restrictions

svar_shortrun.g svar_shortrun.m svar_shortrun.R

MCNEW.DAT mcnew.mat mcnew.Rdata

(3) A Model of Interest Rates with Long-Run Restrictions

svar_longrun.g svar_longrun.m svar_longrun.R

MCNEW.DAT mcnew.mat mcnew.Rdata

(4) The Extended Sims Model

svar_sims.g svar_sims.m svar_sims.R

sims_data.dat sims_data.mat

(5) The Peersman SVAR Model of Oil Price Shocks

svar_peersman.g svar_peersman.m svar_peersman.R

peersman_data.dat peersman.mat peersman_data.Rdata

(6) A Portfolio SVAR Model

svar_port.g svar_port.m svar_port.R

portfolio_data.dat portfolio_data.mat portfolio_data.Rdata

(7) The Blanchard-Quah Model and Okun’s Law

svar_bq.g svar_bq.m svar_bq.R

bq_us.dat bq_us.mat bq_us.Rdata bq_uk.dat bq_uk.mat bq_uk.Rdata bq_jp.dat bq_jp.mat bq_jp.Rdata

(8) Identifying a Goods Market Shock using Sign Restrictions

svar_sign.g svar_sign.m svar_sign.R

sign.dat sign.mat sign.Rdata