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Autor:innen: 
Binning, Andrew
Datum: 
2013
Schriftenreihe/Nr.: 
Working Paper No. 2013/14
Verlag: 
Norges Bank, Oslo
Zusammenfassung: 
I describe a new method for imposing zero restrictions (both short and long-run) in combination with conventional sign-restrictions. In particular I extend the Rubio-Ramirez et al. (2010) algorithm for applying short and long-run restrictions for exactly identified models to models that are underidentified. In turn this can be thought of as a unifying framework for short-run, long-run and sign restrictions. I demonstrate my algorithm with two examples. In the first example I estimate a VAR model using the Smets & Wouters (2007) dataset and impose sign and zero restrictions based on the impulse responses from their DSGE model. In the second example I estimate a BVAR model using the Mountford & Uhlig (2009) data set and impose the same sign and zero restrictions they use to identify an anticipated government revenue shock.
Schlagwörter: 
SVAR
identification
impulse responses
short-run restrictions
long-run restrictions
sign restrictions
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-82-7553-760-5
Creative-Commons-Lizenz: 
https://creativecommons.org/licenses/by-nc-nd/4.0/deed.no
Dokumentart: 
Working Paper
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