short and long run restrictions
Posted: Tue Mar 23, 2010 10:45 am
I Need some help,
I want to construct a VAR model using short and long run restictions with 8 variables (real GDP, house price index, housing starts, GDP deflator, commodity price index, federal funds rate, mortgage interest rate, and nonborrowed reserve).My policy variable is the federal funds rate. I am confused as to how to set up the short run and long run restrictions. Any help will be appreciated
Albert
I want to construct a VAR model using short and long run restictions with 8 variables (real GDP, house price index, housing starts, GDP deflator, commodity price index, federal funds rate, mortgage interest rate, and nonborrowed reserve).My policy variable is the federal funds rate. I am confused as to how to set up the short run and long run restrictions. Any help will be appreciated
Albert