Underidentified SVAR models : A framework for combining short and long-run restrictions with sign-restrictions Working Paper Monetary
Underidentified SVAR models : A framework for combining short and long-run restrictions with sign-restrictions Working Paper Monetary
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未识别的 SVAR 模型：将短期和长期限制与符号限制相结合的框架 货币工作论文
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发表时间：
2013
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通讯作者：
Policy.
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作者：
Policy.
我描述了一种与传统符号限制相结合施加零限制（短期和长期）的新方法。我特别扩展了 Rubio-Ramı́rez 等人的观点。 (2010) 将精确识别的模型的短期和长期限制应用于未识别的模型的算法。反过来，这可以被认为是短期、长期和符号限制的统一框架。我用两个例子来演示我的算法。在第一个示例中，我使用 Smets & Wouters (2007) 数据集估计 VAR 模型，并根据 DSGE 模型的脉冲响应施加符号和零限制。在第二个示例中，我使用 Mountford & Uhlig (2009) 数据集估计了 BVAR 模型，并施加了与用于识别预期政府收入冲击相同的符号和零限制。
I describe a new method for imposing zero restrictions (both short and long-run) in combination with conventional sign-restrictions. In particular I extend the Rubio-Ramı́rez et al. (2010) algorithm for applying short and long-run restrictions for exactly identified models to models that are underidentified. In turn this can be thought of as a unifying framework for short-run, long-run and sign restrictions. I demonstrate my algorithm with two examples. In the first example I estimate a VAR model using the Smets & Wouters (2007) data set and impose sign and zero restrictions based on the impulse responses from their DSGE model. In the second example I estimate a BVAR model using the Mountford & Uhlig (2009) data set and impose the same sign and zero restrictions they use to identify an anticipated government revenue shock.