IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-031-61853-6_17.html
   My bibliography  Save this book chapter

Approximating Singular by Means of Non-singular Structural VARs

In: Recent Advances in Econometrics and Statistics

Author

Listed:
  • Mario Forni

    (Università di Modena e Reggio Emilia, CEPR and RECent)

  • Marco Lippi

    (Einaudi Institute for Economics and Finance (EIEF))

Abstract

In applications of dynamic factor models to structural macroeconomic analysis, r, the number of static factors, is typically larger than q, the number of shocks driving the macroeconomy, so that the spectral density matrix of the factors is singular. Singularity is an important advantage with respect to standard structural VARs, because it ensures that generically the Structural Shocks are fundamental and the factors have a finite VAR representation in the Structural Shocks. However, a serious difficulty with this approach is that singular VARs are not necessarily unique. We show that, despite this, the Structural Shocks and the corresponding Impulse-Response Functions are approximated consistently using a non-singular VAR.

Suggested Citation

  • Mario Forni & Marco Lippi, 2024. "Approximating Singular by Means of Non-singular Structural VARs," Springer Books, in: Matteo Barigozzi & Siegfried Hörmann & Davy Paindaveine (ed.), Recent Advances in Econometrics and Statistics, pages 325-342, Springer.
    • Handle: RePEc:spr:sprchp:978-3-031-61853-6_17
    DOI: 10.1007/978-3-031-61853-6_17
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Keywords

    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-031-61853-6_17. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.