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

Fabio Canova and Pérez Forero, Fernando J.
Authors registered in the RePEc Author Service: Fernando José 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)
Date: 2014-06
New Economics Papers: this item is included in nep-ecm and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://cepr.org/publications/DP10022 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Working Paper: Estimating Overidentified, Nonrecursive Time-Varying Coefficients Structural VARs (2015)
Working Paper: Estimating overidentified, nonrecursive, time-varying coefficients structural VARs (2012)
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:cpr:ceprdp:10022

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP10022

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().