Estimating overidentifed, nonrecursive, time-varying coefficients structural VARs
Title: Estimating overidentifed, nonrecursive, time-varying coefficients structural VARs
Series/Number: Barcelona GSE Working Paper; 2012/637
External link: http://research.barcelonagse.eu/One_Paper.html?paper=637
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.
Type of Access: openAccess
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