Structural Vector Autoregressions with Imperfect Identifying Information

Christiane Baumeister and James D. Hamilton

AEA Papers and Proceedings, 2022, vol. 112, 466-70

Abstract: The problem of identification is often the core challenge of empirical economic research. The traditional approach to identification is to bring in additional information in the form of identifying assumptions, such as restrictions that certain magnitudes have to be zero. In this paper, we suggest that what are usually thought of as identifying assumptions should more generally be described as information that the analyst had about the economic structure before seeing the data. Such information is most naturally represented as a Bayesian prior distribution over certain features of the economic structure.

JEL-codes: C32 C46 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (5)

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DOI: 10.1257/pandp.20221044

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