Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions
Title: Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions
Citation: Quantitative Economics, 2015, Vol. 6, No. 2, pp. 359-384
This paper provides a general procedure to estimate structural vector autoregressions. 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 nonlinear. It can deal in a unified way with just-identified (recursive or nonrecursive) or overidentified systems where identification restrictions are of linear or of nonlinear form. We study the transmission of monetary policy shocks in models with time-varying and time-invariant parameters.
Article first published online: 7 AUG 2015
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