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dc.contributor.authorHannsgen, Gregen_US
dc.date.accessioned2010-05-14T11:08:29Z-
dc.date.available2010-05-14T11:08:29Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/31520-
dc.description.abstractSince Christopher Sims's Macroeconomics and Reality” (1980), macroeconomists have used structural VARs, or vector autoregressions, for policy analysis. Constructing the impulseresponse functions and variance decompositions that are central to this literature requires factoring the variance-covariance matrix of innovations from the VAR. This paper presents evidence consistent with the hypothesis that at least some elements of this matrix are infinite for one monetary VAR, as the innovations have stable, non-Gaussian distributions, with characteristic exponents ranging from 1.5504 to 1.7734 according to ML estimates. Hence, Cholesky and other factorizations that would normally be used to identify structural residuals from the VAR are impossible.en_US
dc.language.isoengen_US
dc.publisherThe Levy Economics Inst. of Bard College Annandale-on-Hudson, NYen_US
dc.relation.ispartofseriesWorking papers // The Levy Economics Institute 546en_US
dc.subject.jelC32en_US
dc.subject.jelE52en_US
dc.subject.ddc330en_US
dc.subject.keywordVector autoregressionsen_US
dc.subject.keywordstable distributionsen_US
dc.subject.keywordstable-paretian distributionsen_US
dc.subject.keywordInfinite varianceen_US
dc.subject.keywordmonetary policyen_US
dc.titleDo the innovations in a monetary VAR have finite variances?en_US
dc.typeWorking Paperen_US
dc.identifier.ppn58508789Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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