Dynamic Identification in VARs

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

No 32598, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Most macroeconomic models view economic outcomes as being generated by a combination of endogenous and exogenous dynamic forces. In particular, the exogenous forces are generally modelled as a set of 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 needed. We then use this result to suggest how it can be used to evaluate common SVAR restrictions (impact restrictions, long run restrictions and proxy-VAR).

JEL-codes: C32 E30 E50 (search for similar items in EconPapers)
Date: 2024-06
Note: EFG ME
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Related works:
Working Paper: Dynamic Identification in VARs (2022)
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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