Dynamic Identification in VARs

Paul Beaudry, Fabrice Collard, Patrick Fève, Alain Guay and Franck Portier ()
Additional contact information
Paul Beaudry: Bank of Canada
Fabrice Collard: Toulouse School of Economics
Alain Guay: University of Quebec in Montreal

No 22-08, Working Papers from Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management

Abstract: Most macroeconomic models, both fully structural models as well as SVAR models, view economic outcomes as the product of a combination of endogenous and exogenous dynamic forces. In particular, the exogenous forces are generally modeled as a set of linearly independent dynamics processes. In this paper we begin by showing that this dual dynamic structure is sufficient to identify the entire set of structural impulse responses inherent to any such model. No extra restrictions are necessary. We then use this observation to suggest how it can be used to evaluate common SVAR restrictions (impact restrictions, long-run restrictions and proxy-VAR), as well as help transpire the role of cross-equation restrictions inherent to more structural models.

Keywords: Structural Shocks; Dynamic Identification; SVARs; DSGE models. (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Pages: 81 pages
Date: 2022-11
New Economics Papers: this item is included in nep-ets
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Related works:
Working Paper: Dynamic Identification in VARs (2024)
Working Paper: Dynamic Identification in VARs (2022)
Working Paper: Dynamic Identification in VARs (2022)
Working Paper: Dynamic Identification in VARs (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:bbh:wpaper:22-08

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