GitHub repository: pruggerd/Structural-Vector-Autoregression-Modeling
Primary language: R
Created: 2019-11-01T12:51:36Z
Description: I analyze the interplay of three U.S. time series: unemployment, inflation and gross domestic product. The first cleans the data and invests seasonality and stationarity. The second part  develops a (structural) vector autoregressive model and test structural identification. The third uses principal compnent analysis and three different quality criterions to forecast quarterly U.S. GDP.