Handling Non - Invertibility :
نویسنده
چکیده
5 Existing research provides no systematic, limited information procedure for handling 6 non-invertibility, despite the well-known inference problem it causes as well as its 7 presence in many types of dynamic systems. Non-invertibility means that structural 8 shocks cannot be recovered from a history of observed variables. It can arise from 9 a form of delayed responses due to, among other things, time-to-plan, sticky infor10 mation or news shocks. Structural VARs rule out non-invertibility by assumption. 11 Inference about structural responses can, in turn, be incorrect. We develop a practi12 cal four-step procedure to partially, and sometimes fully, identify structural responses 13 whether or not non-invertibility is present. Our method combines structural VAR re14 strictions, e.g. recursive identification, with ”agnostic” identification, e.g. sign restric15 tions and bounds on forecast error contributions. In two model-generated examples, 16 our procedure either fully or nearly fully identifies the structural responses whereas 17 SVARs do not. Also, we apply our procedure to real world data. We show that non18 invertibility is unlikely in Fisher’s (2006) study of technology shocks in the U.S. 19 J.E.L. Classification: E3. 20
منابع مشابه
Handling Non - Invertibility : Theories and
5 Existing research provides no systematic, limited information procedure for handling 6 non-invertibility, despite the well-known inference problem it causes as well as its 7 presence in many types of dynamic systems. Non-invertibility means that structural 8 shocks cannot be recovered from a history of observed variables. It arises from a form 9 of delayed responses due to, among other things...
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