Recent content by NoobNoob

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    Why so many lags in the VAR?

    Lutz Kilian answered me, actually the response can be found on his book "Structural Vector Autoregressive Analysis" (see attachement)
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    Why so many lags in the VAR?

    Thank you for your responses guys ! I will also contact the author to have more insights as suggested by @noeti
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    Why so many lags in the VAR?

    Hello everyone, I am currently working on the replication of an article called "The Impact of Oil Price Shocks on the US Stock Market" (2009) by Kilian and Park. In this paper, the authors used a VAR with 24 lags on monthly data. I have used the MATLAB function varorder by Ruey S. Tsay to...
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    Understanding the prerequisites for a VAR analysis

    Don't worry I'll just read as much as I can about how to understand the results of the Johansen Test. I think you answered all the questions I had about stationary in VAR models :). Thanks again!!
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    Understanding the prerequisites for a VAR analysis

    Thank you so much for your response! That is very insightful. The slopes are not directly studied but they do influence impulse responses don't they? At the moment, I am still struggling with the Johansen Test to understand the implication of the results I have found
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    Understanding the prerequisites for a VAR analysis

    Hello everyone, I am currently working on a research project in which I need to replicate the results of two researchers (Kilian & Park 2009: The Impact of Oil Price Shocks on the US Stock Market). In their research article, the two authors use a VAR model (a Structural VAR to be more precise)...
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    Is this how a structual VAR works ?

    Hello everyone, I'm currently working on a research project for which I need to estimate parameters on a structural VAR model (a VAR including contemporaneous terms). I have read quite a lot lately but I'm still unsure how to estimate the coefficients under Cholesky identification (slides...
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    Hi everyone!

    Hello everyone, My name is Raphael, I'm 22 and I'm french. I am very interested in statistics although my knowledge is quite limited. I've had classes of econometrics, but we did not cover very advanced material. I'm enjoying a lot coding on Matlab for whatever project I need to deliver in...