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Re: st: OIRF
From
Robert A Yaffee <[email protected]>
To
[email protected]
Subject
Re: st: OIRF
Date
Sun, 27 Mar 2011 13:12:11 -0400
Max,
You should read the Stock and Watson article
on Vector Autoregressions. On page 103 of that 2001 article
in the Journal of Economic Perspectives, they write that "
A recursive VAR constructs the error terms in each regression equation to be
uncorrelated with the error in the preceding equations."
Also, you might run the Granger causality tests
to help you with the answer. For the OIRF, order
is critically important.
- Regards,
Robert
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
CV: http://homepages.nyu.edu/~ray1/vita.pdf
----- Original Message -----
From: Max Fotbollen <[email protected]>
Date: Sunday, March 27, 2011 10:24 am
Subject: st: OIRF
To: [email protected]
> Hi,
> I am running a VAR model with three equation. I choose to get OIRF. My
> question is regardning the order of variable i set into the analysis.
> Do i start with the most endogenous variable or the most exogenous
> variable should come first?
>
> Thanks a lot for a respond on this matter,
>
> Max
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