Arbeitspapier

Structural analysis with independent innovations

Structural innovations in multivariate dynamic systems are typically hidden and often identified by means of a-priori economic reasoning. Under multivariate Gaussian model innovations there is no loss measure available to distinguish alternative orderings of variables or, put differently, between particular identifying restrictions and rotations thereof. Based on a non Gaussian framework of independent innovations, a loss statistic is proposed in this paper that allows to discriminate between alternative identifying assumptions on the basis of nonparametric density estimates. The merits of the proposed identification strategy are illustrated by means of a Monte Carlo study. Real data applications cover bivariate systems comprising US stock prices and total factor productivity, and four couples of international breakeven inflation rates to investigate monetary autonomy of the Bank of Canada and the Bank of England.

Language
Englisch

Bibliographic citation
Series: cege Discussion Papers ; No. 208

Classification
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
International Financial Markets
Subject
structural innovations
identifying assumptions
SVAR
Cholesky decomposition
news shocks
monetary independence

Event
Geistige Schöpfung
(who)
Herwartz, Helmut
Event
Veröffentlichung
(who)
University of Göttingen, Center for European, Governance and Economic Development Research (cege)
(where)
Göttingen
(when)
2014

Handle
Last update
10.03.2025, 11:42 AM CET

Data provider

This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.

Object type

  • Arbeitspapier

Associated

  • Herwartz, Helmut
  • University of Göttingen, Center for European, Governance and Economic Development Research (cege)

Time of origin

  • 2014

Other Objects (12)