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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

    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...