An Introductory Review of a Structural VAR-X Estimation and Applications


  • Borradores de economía


  • This document presents how to estimate and implement a structural VAR-X model under long run and impact identification restrictions. Estimation by Bayesian and maximum likelihood methods is presented. Applications of the structural VAR-X for impulse response functions to structural shocks, multiplier analysis of the exogenous variables, forecast error variance decomposition and historical decomposition of the endogenous variables are also described, as well as a method for computing HPD regions in a Bayesian context. Some of the concepts are exemplified with an application to US data.

fecha de publicación

  • 2011-12

Líneas de investigación

  • B-VAR
  • FEVD
  • Historical Decomposition
  • IRF
  • S-VAR
  • VAR-X


  • 9200