eprintid: 46441
rev_number: 11
eprint_status: archive
userid: 1482
importid: 105
dir: disk0/00/04/64/41
datestamp: 2022-11-21 12:27:18
lastmod: 2023-01-19 11:26:12
status_changed: 2023-01-19 11:26:12
type: monograph
metadata_visibility: show
creators_name: Fève, Patrick
creators_name: Beaudry, Paul
creators_name: Collard, Fabrice
creators_name: Guay, Alain
creators_name: Portier, Franck
creators_idrefppn: 080518311
creators_idrefppn: 256838763
creators_idrefppn: 050061496
creators_idrefppn: 256838739
creators_idrefppn: 035426225
creators_affiliation: Toulouse School of Economics
creators_affiliation: Toulouse School of Economics
creators_halaffid: 1002422
creators_halaffid: 1002422;441569
title: Dynamic identification in VARs
ispublished: pub
subjects: subjects_ECO
abstract: Most macroeconomic models, both fully structural models as well as SVAR models, view economic outcomes as the product of a combination of endogenous and exogenous dynamic forces. In particular, the exogenous forces are generally modeled as a set of linearly independent dynamics processes. In this paper we begin by showing that this dual dynamic structure is sufficient to identify the entire set of structural impulse responses inherent to any such model. No extra restrictions are necessary. We then  use  this  observation to  suggest how it  can  be used  to evaluate common SVAR restrictions (impact restrictions, long-run restrictions and proxy-VAR), as well as help transpire the role of cross-equation restrictions inherent to more structural models.
date: 2022-11
date_type: published
publisher: TSE Working Paper
official_url: http://tse-fr.eu/pub/127516
faculty: tse
divisions: tse
keywords: Structural Shocks
keywords: Dynamic Identification
keywords: SVARs
keywords: DSGE models
language: en
has_fulltext: TRUE
subjectsJEL: JEL_C32
subjectsJEL: JEL_E32
view_date_year: 2022
full_text_status: public
monograph_type: working_paper
series: TSE Working Paper
volume: 22-1384
place_of_pub: Toulouse
pages: 79
institution: Université Toulouse 1 Capitole
department: Toulouse School of Economics
book_title: TSE Working Paper
oai_identifier: oai:tse-fr.eu:127516
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hal_id: hal-03863451
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hal_version: 1
hal_url: https://hal.archives-ouvertes.fr/hal-03863451
citation:   Fève, Patrick <https://www.idref.fr/080518311>, Beaudry, Paul <https://www.idref.fr/256838763>, Collard, Fabrice <https://www.idref.fr/050061496>, Guay, Alain <https://www.idref.fr/256838739> and Portier, Franck <https://www.idref.fr/035426225>  (2022) Dynamic identification in VARs.  TSE Working Paper, n. 22-1384, Toulouse     
document_url: https://publications.ut-capitole.fr/id/eprint/46441/1/wp_tse_1384.pdf