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dc.contributor.authorHannsgen, Gregen
dc.date.accessioned2010-05-14T11:08:29Z-
dc.date.available2010-05-14T11:08:29Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aLevy Economics Institute of Bard College |cAnnandale-on-Hudson, NYen
dc.relation.ispartofseries|aWorking Paper |x546en
dc.subject.jelC32en
dc.subject.jelE52en
dc.subject.ddc330en
dc.subject.keywordVector autoregressionsen
dc.subject.keywordstable distributionsen
dc.subject.keywordstable-paretian distributionsen
dc.subject.keywordInfinite varianceen
dc.subject.keywordmonetary policyen
dc.titleDo the innovations in a monetary VAR have finite variances?-
dc.typeWorking Paperen
dc.identifier.ppn58508789Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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