We study what happens to identified shocks and to dynamic responses when the data generating process features q disturbances but less than q variables are used in the empirical model. Identified shocks are mongrels: they are linear combinations of current and past values of all structural...

This paper describes a package which uses MATLAB functions and routines to estimate VARs, local projections and other models with classical or Bayesian methods. The toolbox allows a researcher to conduct inference under various prior assumptions on the parameters, to produce point and density...

We study what happens to identified shocks and to dynamic responses when the data generating process features q disturbances but q1 q variables are used in an empirical model. Identified shocks are linear combinations of current and past values of all structural disturbances and do not...