Towards Understanding the Normalization in Structural VAR Models

Andrzej Kocięcki

MPRA Paper from University Library of Munich, Germany

Abstract: The aim of the paper is to study the nature of normalization in Structural VAR models. Noting that normalization is the integral part of identification of a model, we provide a general characterization of the normalization. In consequence some the easy–to–check conditions for a Structural VAR to be normalized are worked out. Extensive comparison between our approach and that of Waggoner and Zha (2003a) is made. Lastly we illustrate our approach with the help of five variables monetary Structural VAR model.

Keywords: Normalization; Identification; Impulse Response Function (search for similar items in EconPapers)
JEL-codes: C30 C32 C51 (search for similar items in EconPapers)
Date: 2013-06-17
New Economics Papers: this item is included in nep-ecm and nep-ets
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