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Estimating overidentified, nonrecursive, time-varying coefficients structural VARs

Fabio Canova and Fernando Pérez Forero ()

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: This paper provides a method to estimate time varying coefficients structural VARs which are non-recursive and potentially overidentified. The procedure allows for linear and non-linear restrictions on the parameters, maintains the multi-move structure of standard algorithms and can be used to estimate structural models with different identification restrictions. We study the transmission of monetary policy shocks and compare the results with those obtained with traditional methods.

Keywords: Non-recursive overidentified SVARs; Time-varying coefficient models; Bayesian methods; Monetary transmission mechanism (search for similar items in EconPapers)
JEL-codes: C11 E51 E52 (search for similar items in EconPapers)
Date: 2012-05
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (7)

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Related works:
Working Paper: Estimating Overidentified, Nonrecursive Time-Varying Coefficients Structural VARs (2015) Downloads
Working Paper: Estimating overidentified, non-recursive, time varying coefficients structural VARs (2014) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:1321

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