Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions

Artikel

This paper provides a general procedure to estimate structural vector autoregressions. The algorithm can be used in constant or time-varying coefficient models, and in the latter case, the law of motion of the coefficients can be linear or nonlinear. It can deal in a unified way with just-identified (recursive or nonrecursive) or overidentified systems where identification restrictions are of linear or of nonlinear form. We study the transmission of monetary policy shocks in models with time-varying and time-invariant parameters.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 6 ; Year: 2015 ; Issue: 2 ; Pages: 359-384 ; New Haven, CT: The Econometric Society

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: Time-varying coefficient structural VAR models ; Metropolis algorithm ; identification restrictions ; monetary transmission mechanism

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Canova, Fabio ; Forero, Fernando J. Pérez
• Ereignis: Veröffentlichung
• (wer): The Econometric Society
• (wo): New Haven, CT
• (wann): 2015

Weitere Informationen

• DOI: doi:10.3982/QE305
• Handle: http://hdl.handle.net/10419/150388
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ