Estimating Interaction effects SVAR


New Member
Dear all,

at the moment, I am struggling with estimating interaction effects with a SVAR approach. I've already set-up VAR and SVAR models in R and be familiar with the fundamental techniques. However, I do not have the background knowledge to solve this problem on my own.

It would be great if you could help me and give me some hints, how I could estimate interaction effects in a SVAR model?

Thank you in advance for taking your time and helping me out!



New Member
I understand the abbreviations VAR as Vector autoregressive models and hence SVAR as structural autoregressive models.


Omega Contributor
Yeah, I figured it was time series data. I am not too familiar with time series, but will ask a couple of questions. What is the purpose of the model (prediction, hypothesis, explanatory)?

Second, you have a time series with a suspected interaction? What type of variables are interacting (stationary, moving, fixed variables)?


New Member
Anway thanks for your help.

1.) The purpose of the model is testing hypotheses derived from the theory. Does a variable x have the expected effect on y?

2.) Stationary variables.