Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/17887
Authors: 
Gottschalk, Jan
Year of Publication: 
2001
Series/Report no.: 
Kiel Working Paper 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

Files in This Item:
File
Size
307.59 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.