Underidentified SVAR Models: A Framework for Combining Short and Long-Run Restrictions with Sign-Restrictions
MetadataShow full item record
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.
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal
Showing items related by title, author, creator and subject.
Furlanetto, Francesco; Robstad, Ørjan; Ulvedal, Pål; Lepetit, Antoine (Working Paper;13/2020, Working paper, 2020)In this paper we extend the standard Blanchard-Quah decomposition to enable fluctuations in aggregate demand to have a long-run impact on the productive capacity of the economy through hysteresis effects. These demand ...
Binning, Andrew; Maih, Junior (Working Papers;17/2015, Working paper, 2015)We present a new method for imposing parameter restrictions in Markov-Switching Vector Autoregression (MS-VAR) models. Our method is more flexible than competing methodologies and easily handles a range of parameter ...
Bjørnland, Hilde C.; Halvorsen, Jørn Inge (Working Papers;15/2008, Working paper, 2008)This paper analyzes how monetary policy responds to exchange rate movements in open economies, paying particular attention to the two-way interaction between monetary policy and exchange rate movements. We address this ...