Structural VAR model in Eviews - Long Run Restrictions

Welcome to another video tutorial: Structural VAR model in Eviews - Long Run Restrictions. Learn how to estimate a Structural VAR model in Eviews and impose long run restrictions. What is structural var model? Structural VAR model (SVAR) models are widely used for monetary and fiscal policy analysis. In this Video I will show you how to estimate an SVAR model in Eviews with Long run Restrictions.

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✅ Workshop in structural var models

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📣 Please note: The SVAR model I estimate in EViews is Inspired by Enders & Lee 1997. Due to time restrictions I only focus on Japan. Feel free to do the same analysis for the other two countries. I have extended the dataset until 2019 and have used quarterly data.

📣IMPORTANT: For a deeper explanation about IRF, Variance decomposition and estimation procedure steps, please watch my VAR videos.
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🕘 Timestamps:
🎬 In this video the following analysis is performed:
👋 Introduction 0:00
📊SVAR models Overview: 0:52
📊SVAR models examples: 2:03
📊Long run Restrictions Literature: 3:17
📊 Our Example: 5:04
📊 Important Considerations: 6:13
📊 Data for our Model: 7:41
📊 Checking for Stationarity: 8:53
📊 Estimating the Model in Eviews: 16:52
📊 Imposing the long run Restriction: 20:33
📊 Impulse Response Functions: 23:03
📊 Variance Decomposition: 25:54
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🗂Video Material "Structural VAR model in Eviews - Long Run Restrictions:

⚠ Disclaimer: the data was gathered from different data sources (i.e., Fred , World Data Bank, etc.). The data set is not the original used by the authors, reason why some estimates may differ in a minimal way.

📚Enders & Lee(1997): "Accounting for real an Nominal exchange rate movements post Breton Woods"
🌐https://www.sciencedirect.com/science/article/abs/pii/S026156069600054X
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📚 Recommended Literature:

📚 Blanchard & Quah (1980): "The Dynamic Effects of Aggregate Demand and Supply disturbances".
🌐https://uh.edu/~bsorense/BlanchardQuah1989.pdf

📚King & Watson (1997): "Testing Long Run Neutrality"
🌐https://www.princeton.edu/~mwatson/papers/King_Watson_TestingLongRunNeutrality_FRBR_1997.pdf

📚Gali (1999): "Technology, Employment and Business Cycles"
🌐https://www.crei.cat/wp-content/uploads/users/pages/jgaer99.pdf
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✅ Other Useful Links:

🎬 VAR model in EViews - PART 1: https://www.youtube.com/watch?v=SbE8ns0oOTs&list=PLsZ8kVwX52ZGXxJ-bqP-WmRBD2HytO4d4

🎬 VAR model in Eviews - Part 2: https://www.youtube.com/watch?v=gfGsehtAmDw&list=PLsZ8kVwX52ZGXxJ-bqP-WmRBD2HytO4d4

🎬 Unit Root Test Tutorial (Stationarity):
https://www.youtube.com/watch?v=65g6D4bICQY&list=PLsZ8kVwX52ZGXxJ-bqP-WmRBD2HytO4d4

Interested in learning more?

🎬 Learn how to write your research paper in a fancy way in Latex with Overleaf: https://youtube.com/playlist?list=PLsZ8kVwX52ZGTCs7OsRPzweuqnJSiU76p

🎬 More EViews related videos:
https://youtube.com/playlist?list=PLsZ8kVwX52ZGXxJ-bqP-WmRBD2HytO4d4
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💬 Doubts or comments? Please leave your comment and I will be pleased to provide you an answer.

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Видео Structural VAR model in Eviews - Long Run Restrictions канала JD Economics