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Thread: Estimating Interaction effects SVAR

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    Estimating Interaction effects SVAR




    Dear all,

    at the moment, I am struggling with estimating interaction effects with a SVAR approach. I've already set-up VAR and SVAR models in R and be familiar with the fundamental techniques. However, I do not have the background knowledge to solve this problem on my own.

    It would be great if you could help me and give me some hints, how I could estimate interaction effects in a SVAR model?

    Thank you in advance for taking your time and helping me out!

    Best!

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    Re: Estimating Interaction effects SVAR

    Can you define what you mean by VAR and SVAR approaches, or at least what the acronyms stand for.


    Thanks.
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    Re: Estimating Interaction effects SVAR

    I understand the abbreviations VAR as Vector autoregressive models and hence SVAR as structural autoregressive models.

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    Re: Estimating Interaction effects SVAR

    Yeah, I figured it was time series data. I am not too familiar with time series, but will ask a couple of questions. What is the purpose of the model (prediction, hypothesis, explanatory)?


    Second, you have a time series with a suspected interaction? What type of variables are interacting (stationary, moving, fixed variables)?
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    Re: Estimating Interaction effects SVAR


    Anway thanks for your help.

    1.) The purpose of the model is testing hypotheses derived from the theory. Does a variable x have the expected effect on y?

    2.) Stationary variables.

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