Repeat exercise 22.18 for the VAR model that you developed.

Exercise 22.18

Refer to any statistical package and estimate the impulse response function for a period of up to 8 lags for the VAR model that you developed in exercise 22.16.

Exercise 22.16

In Section 13.9 you were introduced to the Schwarz criterion to determine lag length. How would you use this criterion to determine the appropriate lag length in a VAR model? Using the data on PCE and PDI given in Table 21.1, develop a bivariate VAR model for the period 1970-I to 1990-IV. Use this model to forecast the values of these variables for the four quarters of 1991 and compare the forecast values with the actual values given