Robust Inference in Structural Vars with Long-Run Restrictions

Are Structural VARs with Long-Run Restrictions Useful in Developing Business Cycle Theory?

The central finding of the recent structural vector autoregression (SVAR) literature with a differenced specification of hours is that technology shocks lead to a fall in hours. Researchers have used this finding to argue that real business cycle models are unpromising. We subject this SVAR specification to a natural economic test and show that when applied to data from a multiple-shock busines...

Efficient Inference in Non-Gaussian Structural VARs

Structural Inference With Long-run Recursive Empirical Models

This paper investigates conditions under which empirical models that use long-run recursive identifying assumptions will obtain structural impulse response functions. I present a class of structures defined as long-run partially recursive. If an economic structure falls into this class, then certain long-run recursive empirical models are able to identify some of the structural responses. This ...

A Structural Vector Error Correction Model with Short-run and Long-run Restrictions

We consider structural vector error correction models (VECMs) in which permanent shocks are partially identified with a set of long-run restrictions, and fully identified with an additional set of short-run restrictions. An identification method with a combination of short-run and long-run restrictions has been studied in the vector autoregressive models literature, but not thoroughly applied t...

Identication robust inference in structural multivariate factor models with rank restrictions

We propose identi…cation robust inference methods for structural multivariate factor models with rank restrictions. Such models involve nonlinear reduced rank restrictions whose identi…cation may raise serious non-regularities leading to the failure of standard asymptotics. First, we prove several invariance and nuisance-parameter reduction results for commonly used eigenvalue and minimum root ...