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Estimating overidentified, non-recursive, time varying coefficients structural VARs

Fabio Canova () and Fernando Pérez Forero ()

No 10022, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This paper provides a general procedure to estimate structural VARs. The algorithm can be used in constant or time varying coefficient models, and in the latter case, the law of motion of the coefficients can be linear or non-linear. It can deal in a unified way with just-identified (recursive or non-recursive) or overidentified systems where identification restrictions are of linear or of non-linear form. We study the transmission of monetary policy shocks in models with time varying and time invariant parameters.

Keywords: Identification restrictions; Metropolis algorithm; Monetary transmission mechanism.; Time-varying coefficient structural VAR models (search for similar items in EconPapers)
JEL-codes: C11 E51 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-mac
Date: 2014-06
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Related works:
Working Paper: Estimating Overidentified, Nonrecursive Time-Varying Coefficients Structural VARs (2012) Downloads
Working Paper: Estimating overidentified, nonrecursive, time-varying coefficients structural VARs (2012) Downloads
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