Alternative Maximum Likelihood Estimation of Structural Vector Autoregressive Models Partially Identified with Short‐Run Restrictions

Kyungho Jang

Journal of Money, Credit and Banking, 2013, vol. 45, issue 2‐3, 465-476

Abstract: This paper presents an alternative maximum likelihood estimation method for partially identified vector autoregressive models. This method might be especially useful to handle very large systems of variables by reducing the dimension of the likelihood space. As an application, we consider an open economy model to investigate the effects of monetary policy on exchange rates and term structures. We find that exchange rates tend to overshoot and term structures have hump‐shaped responses to monetary policy shocks.

Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/jmcb.12010

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:45:y:2013:i:2-3:p:465-476

Access Statistics for this article

Journal of Money, Credit and Banking is currently edited by Robert deYoung, Paul Evans, Pok-Sang Lam and Kenneth D. West

More articles in Journal of Money, Credit and Banking from Blackwell Publishing
Bibliographic data for series maintained by Wiley Content Delivery ().