| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP8515
|
| DP8515 Structural Vector Autoregressions |
| Lutz Kilian
|
| 发表日期 | 2011-08-01
|
| 出版年 | 2011
|
| 语种 | 英语
|
| 摘要 | 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. |
| 主题 | International Macroeconomics
|
| 关键词 | Identification
Structural model
Var
|
| URL | https://cepr.org/publications/dp8515
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537349
|
推荐引用方式
GB/T 7714 |
Lutz Kilian. DP8515 Structural Vector Autoregressions. 2011.
|
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