Estimating overidentified, nonrecursive, time-varying coefficients structural VARs
| Contribuinte(s) |
Universitat Pompeu Fabra. Departament d'Economia i Empresa |
|---|---|
| Data(s) |
26/11/2012
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| Resumo |
This paper provides a method to estimate time varying coefficients structuralVARs which are non-recursive and potentially overidentified. The procedureallows for linear and non-linear restrictions on the parameters, maintainsthe multi-move structure of standard algorithms and can be used toestimate structural models with different identification restrictions. We studythe transmission of monetary policy shocks and compare the results with thoseobtained with traditional methods. |
| Identificador | |
| Idioma(s) |
eng |
| Direitos |
L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons info:eu-repo/semantics/openAccess <a href="http://creativecommons.org/licenses/by-nc-nd/3.0/es/">http://creativecommons.org/licenses/by-nc-nd/3.0/es/</a> |
| Palavras-Chave | #Macroeconomics and International Economics #non-recursive overidentified svars #time-varying coefficient models #bayesian methods #monetary transmission mechanism |
| Tipo |
info:eu-repo/semantics/workingPaper |
