Dynamic Identification in VARs

Paul Beaudry, Fabrice Collard, Patrick Fève, Alain Guay and Franck Portier ()
Additional contact information
Paul Beaudry: Bank of Canada
Fabrice Collard: TSE-R - Toulouse School of Economics - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, CNRS - Centre National de la Recherche Scientifique
Alain Guay: UQAM - Université du Québec à Montréal = University of Québec in Montréal

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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; Dynamic Identification; SVARs; DSGE models (search for similar items in EconPapers)
Date: 2022-11
Note: View the original document on HAL open archive server: https://hal.science/hal-03863451v1
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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)
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