SVARtca (Q7368946)
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Transmission Channel Analysis in Structural VAR Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | SVARtca |
Transmission Channel Analysis in Structural VAR Models |
Statements
Implements Transmission Channel Analysis (TCA) for structural vector autoregressive (SVAR) models following the methodology of Wegner, Lieb, Smeekes and Wilms (2025) <doi:10.48550/arXiv.2405.18987>. TCA decomposes impulse response functions (IRFs) into contributions from distinct transmission channels using a systems form representation and directed acyclic graph (DAG) path analysis. Supports overlapping channels, exhaustive 3-way and 4-way decompositions via inclusion-exclusion principle. This is a parallel R implementation of the 'tca-matlab-toolbox' (<https://github.com/enweg/tca-matlab-toolbox>).
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1 October 2026
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