During my tenure as an Econometrician at FinEQ Analytics, I had the opportunity to apply VAR models in practical scenarios. My role involved performing time series analysis of various economic indicators for our clients, who were mostly in the banking sector.
I frequently dealt with the challenge of understanding the interactions of different macroeconomic variables. To address this, I used Vector Autoregression (VAR) models as they are incredibly effective in capturing the dynamics of multiple time series.
One notable project involved analyzing the effects of monetary policy changes on interest rates and inflation. I implemented VAR models using STATA software, following the process of model identification, estimation, and diagnostic checking. Our results shed light on the significant, yet delayed, impact of policy changes on these key variables.
This research work served as an essential input to our clients' decision-making processes and was highly appreciated. The experience solidified my understanding of applying econometric tools like the VAR model and highlighted their importance in economic and financial analysis.