This paper considers VAR models incorporating many time series that interact through a few dynamic factors. Several econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions imposed on the VAR. Structural VAR identification based on timing restrictions, long run restrictions, and restrictions on factor loadings are discussed and...

I quantify the importance of financial structure, labor market rigidities and industry mix for cross-country asymmetries in monetary transmission. To do so, I determine how closely the impulse responses to a monetary policy shock obtained from country-specific vectorautoregressive (VAR) models and a non-standard panel VAR model match. In the country-specific VAR models, the impulse responses va...

This note investigates long-run exclusion in a cointegrated vector autoregressive (VAR) model from the viewpoint of …nite-sample statistical inference. Monte Carlo experiments show that, in various circumstances, a mis-speci…ed partial VAR model, which is justi…ed by the existence of a long-run excluded variable, can lead to better …nite-sample inference for cointegrating rank than a fully-spec...

This paper examines the finite sample accuracy of impulse response functions in VAR models when cointegration is present but not imposed in estimation. It finds that in typical applications there can be substantial biases at the short horizon, as well as the long. These results suggest that, in contrast to common practice, before conducting impulse response analysis researchers should analyse t...

a central problem ill empirical macroeconomics is to determine when and how much the exchange rate is misaligned. this paper clarifies and calculates the concept of’ the equilibrium real exchange rate, using a structural vector auto regression (var) model. by imposing long—run restrictions on a var model for iran, lour structural shocks are identified: nominal demand, real demand, supply and oi...