Structure-Based SVAR Identification

Emanuele Bacchiocchi and Riccardo "Jack" Lucchetti ()

Departmental Working Papers from Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano

Abstract: It may be desirable, for various reasons, to establish criteria for SVAR identification that do not depend on unknown parameters, but only on the set of restrictions that are imposed on the system a priori on theoretical grounds. In the context of linear systems, this was accomplished in Johansen (1995). This paper extends and amends the approach proposed by Lucchetti (2006); we introduce a set of criteria, which ensure identification independently of unknown parameters for a reasonably general class of models and discuss its possible generalization.

Keywords: SVAR; Identification; Rado Condition (search for similar items in EconPapers)
JEL-codes: C01 C30 C32 (search for similar items in EconPapers)
Date: 2015-07-11
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