Irakli Jgarkava

3 Questions 5 Answers 0 Followers

Questions related from Irakli Jgarkava

How to perform generalized forecast error variance decomposition ?

Hello everyone. I am using the VECM model and I want to use variance decomposition, but as you know variance decomposition is very sensitive to the ordering of the variable. I read in some papers...

29 May 2021 3,476 5 View

I have problem with structural VAR model. can anyone help?

I was using the VAR model and to see the impulse response function I used Cholesky decomposition. data is quarterly from 2003q1 to 2019q2. The first variable is oil price as a supply shock, second...

07 April 2021 4,379 6 View

I am using VAR model and it shows me wrongly that exchange rate has negative effect on CPI and what can be problem?

I am using VAR model and to see the impulse response function I used Cholesky decomposition. The first variable is oil price as a supply shock, second output gap by applying Hodrick-Prescott...

21 March 2021 7,024 9 View