Dynamic Identification in VARs

Paul Beaudry, Fabrice Collard, Patrick Fève, Alain Guay and Franck Portier ()

No 17726, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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; Dsge model; Dynamic Identification; Svars (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2022-12
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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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