Underidentified SVAR Models: A Framework for Combining Short and Long-Run Restrictions with Sign-Restrictions

Arbeitspapier

I describe a new method for imposing zero restrictions (both short and long-run) in combination with conventional sign-restrictions. In particular I extend the Rubio-Ramirez et al. (2010) algorithm for applying short and long-run restrictions for exactly identified models to models that are underidentified. In turn this can be thought of as a unifying framework for short-run, long-run and sign restrictions. I demonstrate my algorithm with two examples. In the first example I estimate a VAR model using the Smets & Wouters (2007) dataset and impose sign and zero restrictions based on the impulse responses from their DSGE model. In the second example I estimate a BVAR model using the Mountford & Uhlig (2009) data set and impose the same sign and zero restrictions they use to identify an anticipated government revenue shock.

Angaben zum Objekt

• ISBN: 978-82-7553-760-5
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 2013/14

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: SVAR ; identification ; impulse responses ; short-run restrictions ; long-run restrictions ; sign restrictions

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Binning, Andrew
• Ereignis: Veröffentlichung
• (wer): Norges Bank
• (wo): Oslo
• (wann): 2013

Weitere Informationen

• Handle: http://hdl.handle.net/10419/210037
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ