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 on Monday, January 9, 2023

Touch into the Vector Auto Regression Model

The logics of VAR, Impulse Reaction, and Variance Decomposition

Posted by Mengjie Xu on 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 on Monday, November 21, 2022

My name is Mengjie Xu. I obtained my PhD from the Frankfurt School of Finance & Management in April 2024 and will join Duke University as an Assistant Professor in Accounting.