Statistics bleg

Imagine you’re a microeconomist moderately skilled in survey and panel data analysis, but wholly ignorant of time series. You have vague recollections of learning what a VAR was five years ago. (You might also be charming and handsome, but that could be self-delusion speaking.)

One day you wake up and think you want to estimate impulse response functions using cross-country time series data. What do you read that (1) gives you the basic technique, or (2) illustrates an applied example clearly?

Assume moderate ignorance.

In case it helps, it so happens that you want to look at the political response (mainly binary events) to exogeneous price shocks. You have both monthly and annual data, painstakingly collected in the eighth basement of Harvard and Berkeley libraries as a (admittedly pale) grad student, before you discovered the delights of field work.

Hypothetically-speaking, of course.