Identification of Technology Shocks in Structural Vars

Identication of Technology Shocks Using Misspecied VARs

Studies that seek to evaluate the e¤ects of technology shocks often employ structural VARs identi…ed with long-run restrictions. In the presence of a mismatch between the number of lags the data-generating process involves and the number of lags included in the VAR, estimates based on long-run restrictions can be largely biased. In this paper, I o¤er an alternative method that substantially red...

Measuring Fiscal Shocks in Structural VARs Using Narrative Data

We describe a methodology that integrates the narrative approach to the identification of macroeconomic shocks into existing structural VAR settings while allowing for measurement error in the narrative measures of the shocks of interest. We apply our methodology to the fiscal VAR setup of Blanchard and Perotti (2002) and make use of the tax shocks constructed by Romer and Romer (2009). We find...

Structural Panel VARs

The paper proposes a structural approach to VAR analysis in panels, which takes into account responses to both idiosyncratic and common structural shocks, while permitting full cross member heterogeneity of the response dynamics. In the context of this structural approach, estimation of the loading matrices for the decomposition into idiosyncratic versus common shocks is straightforward and tra...

Efficient Inference in Non-Gaussian Structural VARs

Real wages and aggregate demand shocks: contradictory evidence from VARs

This paper revisits two recent studies that estimate the dynamic response of real wages to aggregate demand shocks. Using identical empirical techniques—structural VARs with long-run identifying restrictions—and similar post-war data, [Gamber and Joutz 83 (1993) 1387] and [Spencer 36 (1998) 120] report contradictory findings. After careful examination, I conclude that the reason for this puzzli...