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Estimating structural macroeconomic shocks through long-run recursive restrictions on vector autoregressive models: The problem of identification
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UNSPECIFIED (2004) Estimating structural macroeconomic shocks through long-run recursive restrictions on vector autoregressive models: The problem of identification. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 9 (3). pp. 229-244. doi:10.1002/ijfe.247 ISSN 1076-9307.
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Official URL: http://dx.doi.org/10.1002/ijfe.247
Abstract
We demonstrate that a popular method of estimating underlying structural macroeconomic shocks and their impulse-response functions through recursive long-run structural restrictions on a vector autoregressive representation is not uniquely identified. We show, however, that it may be possible to infer additional qualitative restrictions to achieve identification. We illustrate with two applied examples, corresponding to a simple aggregate supply-aggregate demand framework for the USA and to a stochastic Mundell-Fleming-Dornbusch framework for the USA and Japan. The second example also illustrates how over-identifying restrictions of the underlying framework may be examined informally. Copyright (C) 2004 John Wiley Sons, Ltd.
Item Type: | Journal Article | ||||
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Subjects: | H Social Sciences > HG Finance | ||||
Journal or Publication Title: | INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS | ||||
Publisher: | JOHN WILEY & SONS LTD | ||||
ISSN: | 1076-9307 | ||||
Official Date: | July 2004 | ||||
Dates: |
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Volume: | 9 | ||||
Number: | 3 | ||||
Number of Pages: | 16 | ||||
Page Range: | pp. 229-244 | ||||
DOI: | 10.1002/ijfe.247 | ||||
Publication Status: | Published |
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