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Further Results on Identification of Structural VAR Models

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  • Kociecki, Andrzej

Abstract

We provide some generalization and clarification of the identification conditions for Structural VAR (SVAR) models given in Rubio–Ramírez et al (2010). In particular we show that their basic sufficient condition is also necessary. In addition we give necessary and sufficient conditions for identification almost everywhere in SVAR under homogenous restrictions irrespective of whether the model is exactly identified or over–identified. The modification of the order condition is also suggested.

Suggested Citation

  • Kociecki, Andrzej, 2013. "Further Results on Identification of Structural VAR Models," MPRA Paper 46536, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:46536
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    References listed on IDEAS

    as
    1. Christiano, Lawrence J. & Eichenbaum, Martin & Evans, Charles L., 1999. "Monetary policy shocks: What have we learned and to what end?," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 2, pages 65-148, Elsevier.
    2. Juan F. Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2010. "Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 77(2), pages 665-696.
    3. Abadir,Karim M. & Magnus,Jan R., 2005. "Matrix Algebra," Cambridge Books, Cambridge University Press, number 9780521537469, Enero-Abr.
    4. Waggoner, Daniel F. & Zha, Tao, 2003. "Likelihood preserving normalization in multiple equation models," Journal of Econometrics, Elsevier, vol. 114(2), pages 329-347, June.
    5. repec:cup:cbooks:9780521822893 is not listed on IDEAS
    6. Johansen, Soren, 1995. "Identifying restrictions of linear equations with applications to simultaneous equations and cointegration," Journal of Econometrics, Elsevier, vol. 69(1), pages 111-132, September.
    7. J. B. Taylor & M. Woodford (ed.), 1999. "Handbook of Macroeconomics," Handbook of Macroeconomics, Elsevier, edition 1, volume 1, number 1.
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    More about this item

    Keywords

    SVAR; identification;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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