Correction to “Exogenous uncertainty and the identification of structural vector autoregressions with external instruments”
نویسندگان
چکیده
منابع مشابه
On the Identification of Structural Vector Autoregressions
F ollowing seminal work by Sims (1980a, 1980b), the economics profession has become increasingly concerned with studying sources of economic fluctuations. Sims’s use of vector autoregressions (VARs) made it possible to address both the relative importance and the dynamic effect of various shocks on macroeconomic variables. This type of empirical analysis has had at least two important consequen...
متن کاملIdentification and estimation of non-Gaussian structural vector autoregressions
Conventional structural vector autoregressive (SVAR) models with Gaussian errors are not identified, and additional identifying restrictions are typically imposed in applied work. We show that the Gaussian case is an exception in that a SVAR model whose error vector consists of independent non-Gaussian components is, without any additional restrictions, identified and leads to (essentially) uni...
متن کاملIdentification of Structural Vector Autoregressions by Stochastic Volatility
In Structural Vector Autoregressive (SVAR) models, heteroskedasticity can be exploited to identify structural parameters statistically. In this paper, we propose to capture time variation in the second moment of structural shocks by a stochastic volatility (SV) model, assuming that their log variances follow latent AR(1) processes. Estimation is performed by Gaussian Maximum Likelihood and an e...
متن کاملStructural Vector Autoregressions with Nonnormal Residuals
In structural vector autoregressive (SVAR) models identifying restrictions for shocks and impulse responses are usually derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all shocks and impulse responses. In this paper it is pointed out that specific distributional assumptions can also help in identifying the structural shocks....
متن کاملLecture Notes on Structural Vector Autoregressions
• Macroeconomic background – Sims (1980) – Stock and Watson (1988) • Vector Autoregressions 1. Stationarity vs. nonstationarity 2. Structural models 3. Dynamic experiments 4. Estimation – Lütkepohl (1991), chapter 2 – Hamilton (1994), chapter 11 – Sims (1980) – Cooley and LeRoy (1985) – Runkle (1987) • Cointegration and Common Trends – Johansen and Juselius (1990) – King, Plosser, Stock, and Wa...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2023
ISSN: ['1099-1255', '0883-7252']
DOI: https://doi.org/10.1002/jae.2994