Temporal aggregation and SVAR identification, with an application to fiscal policy

Roel Beetsma, Massimo Giuliodori () and Franc Klaassen

Economics Letters, 2009, vol. 105, issue 3, 253-255

Abstract: We show how to assess identifying assumptions for a low-frequency SVAR using estimates from a higher-frequency model. In our application quarterly data support identified annual SVARs in government spending and output by assuming zero within-year impact of output on spending.

Keywords: Structural; vector; autoregression; (SVAR); Identification; High; frequency; Low; frequency; Fiscal; and; monetary; policy (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (36)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:105:y:2009:i:3:p:253-255

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