Democratize Data For Insights

Dig into Estimation of VAR Coefficients, IRFs, and Variance Decomposition in Stata

Manually compute all the major outputs of VAR

Posted by Mengjie Xu Monday, January 9, 2023

Touch into the Vector Auto Regression Model

The logics of VAR, Impulse Reaction, and Variance Decomposition

Posted by Mengjie Xu Tuesday, November 22, 2022

Theory for the information-based decomposition of stock price

Theoretical techniques in variance decomposition method proposed by Brogaard et al. (2022, RFS)

Posted by Mengjie Xu Monday, November 21, 2022

ABOUT ME

I am an Accounting PhD candidate at Frankfurt School of Finance and Management. I will be on the job market in Fall 2023. Feel free to learn more about me and my research by clicking on my photo above or visiting my Google site at www.mengjiexu.org.