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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- Uhlig, Harald, 1999.
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CEPR Discussion Papers
2137, C.E.P.R. Discussion Papers.
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- Juan F. Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2010.
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2000-8, Federal Reserve Bank of Atlanta.
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- Waggoner, Daniel F. & Zha, Tao, 2003. "A Gibbs sampler for structural vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 28(2), pages 349-366, November.
- 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.
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