Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/149117 
Autor:innen: 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Discussion Papers No. 16-04
Verlag: 
University of Bern, Department of Economics, Bern
Zusammenfassung: 
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
Schlagwörter: 
SVAR
identification
group action
Haar measure
perturbation
JEL: 
C1
C18
C32
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
307.38 kB





Publikationen in EconStor sind urheberrechtlich geschützt.