Further Results on Identification of Structural VAR Models
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.
|Date of creation:||25 Apr 2013|
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- 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.
- Juan F. Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2008.
"Structural vector autoregressions: theory of identification and algorithms for inference,"
FRB Atlanta Working Paper
2008-18, Federal Reserve Bank of Atlanta.
- Juan F. Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2010. "Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference," Review of Economic Studies, Oxford University Press, vol. 77(2), pages 665-696.
- repec:cup:cbooks:9780521822893 is not listed on IDEAS
- Abadir,Karim M. & Magnus,Jan R., 2005. "Matrix Algebra," Cambridge Books, Cambridge University Press, number 9780521537469, May.
- Waggoner, Daniel F. & Zha, Tao, 2003.
"Likelihood preserving normalization in multiple equation models,"
Journal of Econometrics,
Elsevier, vol. 114(2), pages 329-347, June.
- Daniel F. Waggoner & Tao Zha, 2000. "Likelihood-preserving normalization in multiple equation models," FRB Atlanta Working Paper 2000-8, Federal Reserve Bank of Atlanta.
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