| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10022 |
| DP10022 Estimating overidentified, non-recursive, time varying coefficients structural VARs | |
| Fabio Canova | |
| 发表日期 | 2014-06-08 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | This paper provides a general procedure to estimate structural VARs. The algorithm can be used in constant or time varying coefficient models, and in the latter case, the law of motion of the coefficients can be linear or non-linear. It can deal in a unified way with just-identified (recursive or non-recursive) or overidentified systems where identification restrictions are of linear or of non-linear form. We study the transmission of monetary policy shocks in models with time varying and time invariant parameters. |
| 主题 | International Macroeconomics |
| 关键词 | Identification restrictions Metropolis algorithm Monetary transmission mechanism. Time-varying coefficient structural var models |
| URL | https://cepr.org/publications/dp10022 |
| 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/538854 |
| 推荐引用方式 GB/T 7714 | Fabio Canova. DP10022 Estimating overidentified, non-recursive, time varying coefficients structural VARs. 2014. |
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