Resumo

OCAMPO, SERGIO  e  RODRIGUEZ, NORBERTO. An Introductory Review of a Structural VAR-X Estimation and Applications. Rev.Colomb.Estad. [online]. 2012, vol.35, n.3, pp.479-508. ISSN 0120-1751.

This document presents how to estimate and implement a structural VAR-X model under long run and impact identification restrictions. Estimation by Bayesian and classical methods are 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 higher posterior density regions in a Bayesian context. Some of the concepts are exemplified with an application to US data.

Palavras-chave : Econometrics; Bayesian time series; Vector autoregression; \linebreak Structural model.

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