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Structural Vector Autoregressions

Lutz Kilian

No 8515, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: Structural vector autoregressive (VAR) models were introduced in 1980 as an alternative to traditional large-scale macroeconometric models when the theoretical and empirical support for these models became increasingly doubtful. Initial applications of the structural VAR methodology often were atheoretical in that users paid insufficient attention to the conditions required for identifying causal effects in the data. In response to ongoing questions about the validity of widely used identifying assumptions the structural VAR literature has continuously evolved since the 1980s. This survey traces the evolution of this literature. It focuses on alternative approaches to the identification of structural shocks within the framework of a reduced-form VAR model, highlighting the conditions under which each approach is valid and discussing potential limitations of commonly employed methods.

Keywords: Identification; Structural model; Var (search for similar items in EconPapers)
JEL-codes: C32 C51 (search for similar items in EconPapers)
Date: 2011-08
New Economics Papers: this item is included in nep-cba, nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (48)

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Chapter: Structural vector autoregressions (2013) Downloads
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