Estimating Overidentified, Nonrecursive Time-Varying Coefficients Structural VARs
Fabio Canova () and
Fernando Pérez Forero ()
No 637, Working Papers from Barcelona Graduate School of Economics
This paper provides a method to estimate time varying coefficients structural VARs which are non-recursive and potentially overidentified. The procedure allows for linear and non-linear restrictions on the parameters, maintains the multi-move structure of standard algorithms and can be used to estimate structural models with different identification restrictions. We study the transmission of monetary policy shocks and compare the results with those obtained with traditional methods.
Keywords: Non-recursive overidentified SVARs; Time-varying coefficient models; Bayesian methods; Monetary transmission mechanism (search for similar items in EconPapers)
JEL-codes: C11 E51 E52 (search for similar items in EconPapers)
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Working Paper: Estimating overidentified, non-recursive, time varying coefficients structural VARs (2014)
Working Paper: Estimating overidentified, nonrecursive, time-varying coefficients structural VARs (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:bge:wpaper:637
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