I've been trying for a while to replicate the vector autoregression analysis that I used to do in Stata.
Is anyone aware of a template or a video that will teach me to write a VAR?
I tried looking at documentation but for some reason its hard for me to apply what I read.
I want to do the following:
- Identifying supply (inflation) and demand (gdp) shocks. A line graph showing supply shocks for all countries and same for demand shocks.
- Find correlations of supply and demand shocks across the countries. A matrix like table with countries on the columns, countries on the rows and their correlations value. one table for demand, one for supply.
- Get Impulse responses. Explanation of results.
- Get variance decomposition. Graphs.