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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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    File URL: https://mpra.ub.uni-muenchen.de/46536/1/MPRA_paper_46536.pdf
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    References listed on IDEAS

    as
    1. Waggoner, Daniel F. & Zha, Tao, 2003. "Likelihood preserving normalization in multiple equation models," Journal of Econometrics, Elsevier, vol. 114(2), pages 329-347, June.
    2. 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.
    3. Abadir,Karim M. & Magnus,Jan R., 2005. "Matrix Algebra," Cambridge Books, Cambridge University Press, number 9780521537469.
    4. repec:cup:cbooks:9780521822893 is not listed on IDEAS
    5. 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.
    Full references (including those not matched with items on IDEAS)

    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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