Infinite-variance, alpha-stable shocks in monetary SVAR: Final working-paper version

Arbeitspapier

This paper adumbrates a theory of what might be going wrong in the monetary SVAR literature and provides supporting empirical evidence. The theory is that macroeconomists may be attempting to identify structural forms that do not exist, given the true distribution of the innovations in the reduced-form VAR. The paper shows that this problem occurs whenever (1) some innovation in the VAR has an infinite-variance distribution and (2) the matrix ofcoefficients on the contemporaneous terms in the VAR's structural form is nonsingular. Since (2) is almost always required for SVAR analysis, it is germane to test hypothesis (1). Hence, in this paper, we fit a-stable distributions to VAR residuals and, using a parametric-bootstrap method, test the hypotheses that each of the error terms has finite variance.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 682

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Specific Distributions; Specific Statistics ; Econometric Modeling: General ; Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) ; Monetary Policy
• Thema: vector autoregression ; Lévy-stable distribution ; infinite variance ; monetary policy shocks ; heavy-tailed error terms ; factorization ; impulse-response function

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Hannsgen, Greg
• Ereignis: Veröffentlichung
• (wer): Levy Economics Institute of Bard College
• (wo): Annandale-on-Hudson, NY
• (wann): 2011

Weitere Informationen

• Handle: http://hdl.handle.net/10419/57015
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ