[Gretl-users] FAVAR
Dear all,
has anyone of you ever done a FAVAR in the style of Bernanke et al
(2005)?
I am looking for someone to compare notes with, as I am trying to
implement a FAVAR at present and get somewhat implausible results.
I have trouble finding the mistake I made, because all that is
economically interpretable in a FAVAR are the impulse responses at the
end. Therefore I'm unsure where I slipped up.
It would be great hearing from any of you, who has done this before.
I hope this is not an inappropriate request on this list.
Best,
Britta