An Introductory Review of a Structural VAR-X Estimation and Applications

Abstract

This document presents how to estimate and implement a structural VAR-X model under long run and impact identification restrictions. Estimation by bayesian and maximum likelihood methods is presented. Applications of the structural VAR-X for impulse response functions to structural shocks, multiplier analysis of the exogenous variables, forecast error variance decomposition and historical decomposition of the endogenous variables are also described, as well as a method for computing HPD regions in a bayesian context. Some of the concepts are exemplified with an application to US data.S-VAR, B-VAR, VAR-X, IRF, FEVD, Historical Decomposition. Classification JEL: C11, C18, C32.