var model in stata tutorial

VAR model in stata part 2. Estimate impulse response functions and variance decomposition after estimating a var model in stata.

In this tutorial I show you step by step how to run and interpret impulse response functions and variance decomposition in var models in stata. Learn all you need to know to estimate VAR model in Stata and learn about the cholesky decomposition.

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✅ Vector Autoregression in Stata tutorial

✅ Topics covered in var model in stata: what is the var model? what are the requirements to estimate a var model? Formal representation of a var model. Check for stationarity. How to estimate var model in stata. How to select the lag lenght of the var model. Granger causality Test. VAR stability conditions. Also, I will teach you how to order the variables in a VAR model.

I hope you enjoyed this time series var model in stata complete step by step explanation! Ensure to watch var model in stata complete

✅ var model in stata part 1 link: https://www.youtube.com/watch?v=I2IpCRfi7ts&list=PLsZ8kVwX52ZEFZsVViYs60lf7idJuKKUO

Watching the two videos will help you know how to write economics research thesis or assignments.

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🕘 Timestamps:
🎬 In this video the following analysis is performed:
👋 Introduction 0:00
📊Impulse Response Function (IRF) Overview 1:06
📊 What is Cholesky Decomposition? 2:06
📊 How to order variables in a VAR model: 4:22
📊 How to estimate IRF in Stata 4:50
📊 How to interpret an IRF 7:52
📊 Variance Decomposition Overview 10:12
📊 Variance Decomposition in Stata 10:46
📊 Next Step: SVARS 15:37
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📚 Recommended Literature:

📚 Christopher Sims (1980): "Macroeconomics and Reality".
🌐http://www.pauldeng.com/pdf/Sims%20macroeconomics%20and%20reality.pdf

📚Stock and Watson (2001) : "Vector Autoregressions".
🌐 https://scholar.harvard.edu/stock/publications/vector-autoregressions

📚Sims, Stock and Watson (1990): "Inference in Linear Time Series Models with some Unit Roots"
🌐http://www.princeton.edu/~mwatson/papers/Sims_Stock_Watson_Ecta_1990.pdf

📚 Granger (1969): "Investigating Causal Relations by Econometric Models and Cross-spectral Methods"
🌐http://tyigit.bilkent.edu.tr/metrics2/read/Investigating%20%20Causal%20Relations%20by%20Econometric%20Models%20and%20Cross-Spectral%20Methods.pdf
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✅ Other Useful Links:

🎬Intro to VAR Models in EViews:
https://youtu.be/SbE8ns0oOTs

🎬 Impulse Response Functions and variance decomposition in Eviews:
https://youtu.be/gfGsehtAmDw

Interested in learning more?

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

🎬 Very helpful EViews course:
https://youtube.com/playlist?list=PLsZ8kVwX52ZGXxJ-bqP-WmRBD2HytO4d4
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💬 Doubts or comments? Please leave your comment!

Thanks!

Видео var model in stata tutorial канала JD Economics