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Institut für Weltwirtschaft (IfW), Kiel >
Kieler Arbeitspapiere, IfW >
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http://hdl.handle.net/10419/17887
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| Title: | | An Introduction into the SVAR Methodology: Identification, Interpretation and Limitations of SVAR models  |
| Authors: | | Gottschalk, Jan |
| Issue Date: | | 2001 |
| Series/Report no.: | | Kieler Arbeitspapiere 1072 |
| Abstract: | | This paper aims to provide a non-technical introduction into the SVAR methodology. Particular emphasize is put on the approach to identification in SVAR models, which is compared to identification in simultaneous equation models. It is shown that SVAR models are useful tools to analyze the dynamics of a model by subjecting it to an unexpected shock, whereas simultaneous equation models are better suited for policy simulations. A draw back of the SVAR methodology is that due to the low dimension of typical SVAR models the assumption that the underlying shocks are orthogonal is likely to be fairly restrictive. |
| Subjects: | | Structural Vector Autoregressions Identification Impulse Response Analysis |
| JEL: | | C51 C32 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des IfW Kieler Arbeitspapiere, IfW
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| kap1072.pdf | | 307.59 kB | Adobe PDF |
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