Granger Causality, Impulse Response, Variance Decomposition, and Forecasting in VAR using R
This video goes through a series of applications that VAR can be used for. This starts with Granger Causality and moves to generating the Impulse Response Functions and Variance Decomposition Plots. Finally, Forecasting and showing the fan chart is shown.
Playlist Link: • VAR in R
Created by Justin S. Eloriaga
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