Underidentified SVAR Models: A Framework for Combining Short and Long-Run Restrictions with Sign-Restrictions
Working paper
Published version
Permanent lenke
http://hdl.handle.net/11250/2496694Utgivelsesdato
2013Metadata
Vis full innførselSamlinger
Sammendrag
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.
Utgiver
Norges BankSerie
Working Papers;14/2013
Med mindre annet er angitt, så er denne innførselen lisensiert som Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal
Beslektede innførsler
Viser innførsler beslektet ved tittel, forfatter og emneord.
-
Estimating hysteresis effects
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 ... -
Applying Flexible Parameter Restrictions in Markov-Switching Vector Autoregression Models
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 ... -
How Does Monetary Policy Respond to Exchange Rate Movements? New International Evidence
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 ...