| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23225 |
| 来源ID | Working Paper 23225 |
| Shock Restricted Structural Vector-Autoregressions | |
| Sydney C. Ludvigson; Sai Ma; Serena Ng | |
| 发表日期 | 2017-03-13 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | It is well known that the covariance structure of the data alone is not enough to identify an SVAR, and the conventional approach is to impose restrictions on the parameters of the model based on a priori theoretical considerations. This paper suggests that much can be gained by requiring the properties of the identified shocks to agree with major economic events that have been realized. We first show that even without additional restrictions, the data alone are often quite informative about the quantitatively important shocks that have occurred in the sample. We propose shrinking the set of solutions by imposing two types of inequality constraints on the shocks. The first restricts the sign and possibly magnitude of the shocks during unusual episodes in history. The second restricts the correlation between the shocks and variables external to the SVAR. The methodology provides a way to assess the validity of assumptions imposed as equality constraints. The effectiveness and limitations of this approach are exemplified with three applications. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Macroeconomic Models |
| URL | https://www.nber.org/papers/w23225 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580899 |
| 推荐引用方式 GB/T 7714 | Sydney C. Ludvigson,Sai Ma,Serena Ng. Shock Restricted Structural Vector-Autoregressions. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23225.pdf（1002KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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