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Title:An Introduction into the SVAR Methodology: Identification, Interpretation and Limitations of SVAR models PDF Logo
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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