Using same estimated VAR over different samples.
Posted: Thu Aug 15, 2013 5:34 pm
Dear Estima:
Let's say I estimate a VAR over period 1960:Q1 to 2007:Q4 and use identifying restrictions to estimate structural shocks over this time. Now I want to take the same estimated model (based on the 1960:Q1 to 2007:Q4 period) and identifying restrictions and use it to identify structural shocks for the 2008:Q1 to 2012:Q4 period. How would you recommend I do this? Thanks in advance.
Let's say I estimate a VAR over period 1960:Q1 to 2007:Q4 and use identifying restrictions to estimate structural shocks over this time. Now I want to take the same estimated model (based on the 1960:Q1 to 2007:Q4 period) and identifying restrictions and use it to identify structural shocks for the 2008:Q1 to 2012:Q4 period. How would you recommend I do this? Thanks in advance.