6. Structural VAR Modeling

RISE’s svar object models a (possibly Markov-switching) structural VAR – the structural form is estimated directly, given identifying restrictions on the contemporaneous-impact matrix. It shares its data handling, estimation, forecasting and decomposition machinery with the reduced-form VAR object, so the chapter below focuses on what is specific to the structural case and otherwise points at Reduced-form VAR Modeling.

• 6.1. Modelling structural VARs
  • 6.1.1. The model
  • 6.1.2. Creating an SVAR
  • 6.1.3. Identification
  • 6.1.4. Estimation
  • 6.1.5. Impulse responses, variance and historical decompositions, forecasting
  • 6.1.6. Adding regime switching
  • 6.1.7. Technical documentation for svar objects