Estimating overidentied, non-recursive, time varying coe¢ cients structural VARs
نویسندگان
چکیده
This paper provides a general procedure to estimate structural VARs. The algorithm can be used in constant or time varying coe¢ cient models, and in the latter case, the law of motion of the coe¢ cients can be linear or non-linear. It can deal in a uni ed way with just-identi ed (recursive or non-recursive) or overidenti ed systems where identi cation restrictions are of linear or of nonlinear form. We study the transmission of monetary policy shocks in models with time varying and time invariant parameters. JEL Classi cation: C11, E51, E52 Key words: Time-varying coe¢ cient structural VAR models, Metropolis algorithm, Identi cation restrictions, Monetary transmission mechanism. Corresponding address: Macroeconomic Modeling Department, Banco Central de Reserva del Perú (BCRP), Jr. Miró Quesada 441, Lima, Perú. We would like to thank F. Schorfheide, G. Primiceri, R. Casarin, H. Van Dijk and three anonymous referees for comments and suggestions. The nancial support of the Spanish Ministry of Economy and Competitiveness, through the grants ECO2009-08556, and ECO2012-33247, of the Barcelona Graduate School of Economics,and of the European University Institute is gratefully acknowledged. A version of the paper has circulated with the title A general algorithm for estimating structural VARs.
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On - line appendix to " Estimating overidenti ed , non - recursive , time varying coe ¢ cients structural VARs
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