Towards Understanding the Normalization in Structural VAR Models
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.
|Date of creation:||17 Jun 2013|
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- Juan F. Rubio-Ramírez & Daniel F.Waggoner & Tao Zha, 2008.
"Structural vector autoregressions: theory of identification and algorithms for inference,"
2008-18, Federal Reserve Bank of Atlanta.
- Juan F. Rubio-Ram�rez & 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.
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- 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, vol. 48(2), pages 387-412, August.
- Daniel F. Waggoner & Tao Zha, 2000.
"Likelihood-preserving normalization in multiple equation models,"
2000-8, Federal Reserve Bank of Atlanta.
- Waggoner, Daniel F. & Zha, Tao, 2003. "Likelihood preserving normalization in multiple equation models," Journal of Econometrics, Elsevier, vol. 114(2), pages 329-347, June.
- Uhlig, Harald, 1999.
"What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure,"
CEPR Discussion Papers
2137, C.E.P.R. Discussion Papers.
- Uhlig, Harald, 2005. "What are the effects of monetary policy on output? Results from an agnostic identification procedure," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
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