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Towards Understanding the Normalization in Structural VAR Models

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  • Kociecki, Andrzej

Abstract

The aim of the paper is to study the nature of normalization in Structural VAR models. Noting that normalization is the integral part of identification of a model, we provide a general characterization of the normalization. In consequence some the easy–to–check conditions for a Structural VAR to be normalized are worked out. Extensive comparison between our approach and that of Waggoner and Zha (2003a) is made. Lastly we illustrate our approach with the help of five variables monetary Structural VAR model.

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File URL: http://mpra.ub.uni-muenchen.de/47645/
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 47645.

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Date of creation: 17 Jun 2013
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Handle: RePEc:pra:mprapa:47645

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Keywords: Normalization; Identification; Impulse Response Function;

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  1. Uhlig, Harald, 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2137, C.E.P.R. Discussion Papers.
  2. Kim, Soyoung, 1999. "Do monetary policy shocks matter in the G-7 countries? Using common identifying assumptions about monetary policy across countries," Journal of International Economics, Elsevier, Elsevier, vol. 48(2), pages 387-412, August.
  3. Juan F. Rubio-Ramírez & Daniel F.Waggoner & Tao Zha, 2008. "Structural vector autoregressions: theory of identification and algorithms for inference," Working Paper, Federal Reserve Bank of Atlanta 2008-18, Federal Reserve Bank of Atlanta.
  4. Waggoner, Daniel F. & Zha, Tao, 2003. "Likelihood preserving normalization in multiple equation models," Journal of Econometrics, Elsevier, Elsevier, vol. 114(2), pages 329-347, June.
  5. Waggoner, Daniel F. & Zha, Tao, 2003. "A Gibbs sampler for structural vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 28(2), pages 349-366, November.
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