Showing 1 - 10 of 10
In structural vector autoregressive (SVAR) models identifying restrictions for shocks and impulse responses are usually derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all shocks and impulse responses. In this paper it is...
Persistent link: https://www.econbiz.de/10010261406
Conventional structural vector autoregressive (SVAR) models with Gaussian errors are not identified, and additional identifying restrictions are typically imposed in applied work. We show that the Gaussian case is an exception in that a SVAR model whose error vector consists of independent...
Persistent link: https://www.econbiz.de/10011272281
We propose a new bootstrap for inference for impulse responses in structural vector autoregressive models identified with an external proxy variable. Simulations show that the new bootstrap provides confidence intervals for impulse responses which often have more precise coverage than and...
Persistent link: https://www.econbiz.de/10012320279
Different local projection (LP) estimators for structural impulse responses of proxy vector autoregressions are reviewed and compared algebraically and with respect to their small sample suitability for inference. Conditions for numerical equivalence and similarities of some estimators are...
Persistent link: https://www.econbiz.de/10012520401
A central issue of monetary policy analysis is the specification of monetary policy shocks. In a structural vector autoregressive setting there has been some controversy about which restrictions to use for identifying the shocks because standard theories do not provide enoughinformation to fully...
Persistent link: https://www.econbiz.de/10005765901
In structural vector autoregressive (SVAR) models identifying restrictions for shocks and impulse responses are usually derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all shocks and impulse responses. In this paper it is...
Persistent link: https://www.econbiz.de/10005766131
In structural vector autoregressive (SVAR) models identifying restrictions for shocks and impulse responses are usually derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all shocks and impulse responses. In this paper it is...
Persistent link: https://www.econbiz.de/10005744255
A central issue of monetary policy analysis is the specification of monetary policy shocks. In a structural vector autoregressive setting there has been some controversy about which restrictions to use for identifying the shocks because standard theories do not provide enough information to...
Persistent link: https://www.econbiz.de/10005697646
Different local projection (LP) estimators for structural impulse responses of proxy vector autoregressions are reviewed and compared algebraically and with respect to their small sample suitability for inference. Conditions for numerical equivalence and similarities of some estimators are...
Persistent link: https://www.econbiz.de/10012520028
We propose a new bootstrap for inference for impulse responses in structural vector autoregressive models identified with an external proxy variable. Simulations show that the new bootstrap provides confidence intervals for impulse responses which often have more precise coverage than and...
Persistent link: https://www.econbiz.de/10012313787