A Program for the Identification of Structural VAR-Models
نویسنده
چکیده
This paper presents a menu-driven RATS-program which allows to identify structural shocks in vector-autoregressive (VAR) models. Identification is achieved by imposing short-run or long-run restrictions (or a combination of both) on the structural form of a model. The only requirement is that the matrix of restrictions consisting of rows of the restricted matrices of short-run and long-run effects can be written as an upper triangular matrix.
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