Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/149117
Authors: 
Neusser, Klaus
Year of Publication: 
2016
Series/Report no.: 
Discussion Papers 16-04
Abstract: 
The notion of the group of orthogonal matrices acting on the set of all feasible identification schemes is used to characterize the identification problem arising in structural vector autoregressions. This approach presents several conceptual advantages. First, it provides a fundamental justification for the use of the normalized Haar measure as the natural uninformative prior. Second, it allows to derive the joint distribution of blocks of parameters defining an identification scheme. Finally, it provides a coherent way for studying perturbations of identification schemes becomes relevant, among other things, for the specification of vector autoregressions with time-varying covariance matrices
Subjects: 
SVAR
identification
group action
Haar measure
perturbation
JEL: 
C1
C18
C32
Document Type: 
Working Paper
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