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dc.contributor.authorBinning, Andrew
dc.date.accessioned2018-05-02T10:53:25Z
dc.date.available2018-05-02T10:53:25Z
dc.date.issued2013
dc.identifier.isbn978-82-7553-760-5
dc.identifier.issn1502-8143
dc.identifier.urihttp://hdl.handle.net/11250/2496694
dc.description.abstractI 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.nb_NO
dc.language.isoengnb_NO
dc.publisherNorges Banknb_NO
dc.relation.ispartofseriesWorking Papers;14/2013
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internasjonal*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/deed.no*
dc.subjectSVARnb_NO
dc.subjectidentificationnb_NO
dc.subjectimpulse responsesnb_NO
dc.subjectshort-run restrictionsnb_NO
dc.subjectlong-run restrictionsnb_NO
dc.subjectsign restrictionsnb_NO
dc.titleUnderidentified SVAR Models: A Framework for Combining Short and Long-Run Restrictions with Sign-Restrictionsnb_NO
dc.typeWorking papernb_NO
dc.description.versionpublishedVersionnb_NO
dc.subject.nsiVDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212nb_NO
dc.source.pagenumber28nb_NO


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Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal