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Econometrics, 2013 The paper proposes a structural approach to VAR analysis in panels, which takes into account responses to both idiosyncratic and common structural shocks, while permitting full cross member heterogeneity of the response dynamics.
Peter Pedroni
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Structural VAR, MARMA and open economy models
International Journal of Forecasting, 1998 The objective of this paper is to examine the recent literature on the standard open economy macro paradigm. Since there are many aspects to this literature, we concentrate on issues regarding the nature of restrictions imposed in order to gain identification, the general problem of identification in the context of the standard structural VAR (SVAR) or
Dimitrios Thomakos, Phoebus J Dhrymes
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Assessing Structural VARs [PDF]
International Finance Discussion Papers, 2006 This paper analyzes the quality of VAR-based procedures for estimating the response of the economy to a shock. We focus on two key issues. First, do VAR-based confidence intervals accurately reflect the actual degree of sampling uncertainty associated with impulse response functions?
Lawrence J. Christiano +2 more
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Blended identification in structural VARs
Journal of Monetary Economics, 2023 The proposed blended approach combines identification via heteroskedasticity with sign/ narrative restrictions, and instrumental variables. Since heteroskedasticity can point identify shocks, its use results in a sharp reduction of the potentially large identified sets stemming from other approaches.
Carriero, Andrea +2 more
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Takipteki Krediler ve Makro Finansal Bağlantılar: Türkiye İçin Bir SVAR Modeli
Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 2023 ÖzetBu makalede Türkiye ekonomisinin 2003:Q1-2019:Q4 dönemine ait verileri kullanılarak, takipteki krediler oranı (TKO) ile makroekonomik değişkenler arasındaki dinamik ilişki yapısal vektör otoregresif model yardımıyla incelenmektedir.
Cemil Varlık
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Monetary Policy And Aggregate Demand In India: An Analysis Of Post-Reform Period
Buletin Ekonomi Moneter dan Perbankan, 2023 This study attempts to quantify the influence of monetary policy on aggregate demand in India during the economic reform period (1998-2019). The New Keynesian approach is adopted as the framework for the study. The structural vector auto regression model
Prem Kumar
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Sufficient information in structural VARs [PDF]
Journal of Monetary Economics, 2014 Abstract Necessary and sufficient conditions under which a VAR contains sufficient information to estimate the structural shocks are derived. On the basis of this theoretical result we propose two simple tests to detect informational deficiency and a procedure to amend a deficient VAR. A simulation based on a DSGE model with fiscal foresight suggests
FORNI, Mario, Gambetti, Luca
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Mixed Frequency Structural VARs [PDF]
SSRN Electronic Journal, 2014 A mismatch between the time scale of a structural VAR (SVAR) model and that of the time series data used for its estimation can have serious consequences for identification, estimation and interpretation of the impulse response functions. However, the use of mixed frequency data, combined with a proper estimation approach, can alleviate the temporal ...
FORONI, Claudia +1 more
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Rural Structural Transformation and Agricultural Productivity in Nigeria [PDF]
Athens Journal of Business & Economics, 2022 Rural structural transformation is best defined as structural changes in the rural areas occasioned by government policies and programmes with the intention of altering the contributions of major sector of the economy for the enhancement of agricultural ...
Abidemi Abiola , Rasak A. Adefabi
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Measuring the NAIRU — A structural VAR approach [PDF]
Frontiers of Economics in China, 2011 This paper calculates the NAIRU for the US in a framework that allows inflation and unemployment to be jointly endogenous. We define the NAIRU as being the component of actual unemployment that is uncorrelated with inflation in the long run. We use a structural VAR to estimate the NAIRU and core inflation simultaneously and with greater precision than ...
Zhao, Hongmei +1 more
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