Estimating Interaction effects SVAR

Robby

New Member
#1
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!
 

Robby

New Member
#3
I understand the abbreviations VAR as Vector autoregressive models and hence SVAR as structural autoregressive models.
 

hlsmith

Omega Contributor
#4
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)?
 

Robby

New Member
#5
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.