Structural Vector Autoregressions with Nonnormal Residuals

Markku Lanne and Helmut Lütkepohl ()

No CESifo Working Paper No. 1651, CESifo Working Paper Series from CESifo GmbH

Abstract: 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 pointed out that specific distributional assumptions can also help in identifying the structural shocks. In particular, a mixture of normal distributions is considered as a plausible model that can be used in this context. Our model setup makes it possible to test restrictions which are just-identifying in a standard SVAR framework. In particular, we can test for the number of transitory and permanent shocks in a cointegrated SVAR model. The results are illustrated using a data set from King, Plosser, Stock and Watson (1991) and a system of US and European interest rates.

Keywords: mixture normal distribution; cointegration; vector autoregressive process; vector error correction model; impulse responses (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets
Date: 2006
View list of references

Downloads: (external link)
http://www.cesifo-group.de/DocCIDL/cesifo1_wp1651.pdf (application/pdf)

Related works:
Working Paper: Structural Vector Autoregressions with Nonnormal Residuals (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo GmbH
Address: Poschingerstrasse 5, 81679 Munich
Series data maintained by Julio Saavedra ().