An Introduction into the SVAR Methodology: Identification, Interpretation and Limitations of SVAR models

Arbeitspapier

This paper aims to provide a non-technical introduction into the SVAR methodology. Particular emphasize is put on the approach to identification in SVAR models, which is compared to identification in simultaneous equation models. It is shown that SVAR models are useful tools to analyze the dynamics of a model by subjecting it to an unexpected shock, whereas simultaneous equation models are better suited for policy simulations. A draw back of the SVAR methodology is that due to the low dimension of typical SVAR models the assumption that the underlying shocks are orthogonal is likely to be fairly restrictive.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Kiel Working Paper ; No. 1072

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Model Construction and Estimation ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Thema: Structural Vector Autoregressions ; Identification ; Impulse Response Analysis ; VAR-Modell ; Zeitreihenanalyse ; Theorie

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Gottschalk, Jan
• Ereignis: Veröffentlichung
• (wer): Kiel Institute of World Economics (IfW)
• (wo): Kiel
• (wann): 2001

Weitere Informationen

• Handle: http://hdl.handle.net/10419/17887
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ