Brenno Machado

2 Questions 2 Answers 0 Followers

Questions related from Brenno Machado

How to properly choose optimal lag length in VAR?

I'm studying the monetary transmission mechanism, using 4 variables(inflation, interest rate, exchange rate and gnp), through impulse response functions When using Akaike, Hannah-Quinn and...

08 July 2019 3,233 10 View

Can a VAR be estimated with different orders of integration?

I am currently studying the monetary mechanism transmission in Brazil, and using 4 variables into the analysis(interest, exchange rate, output and inflation). The goal is to study the impulse...

23 June 2019 5,856 4 View