Topics in structural VAR econometrics

MaRDI QIDQ1189544zbMATH OpenFDO

Authors Carlo Giannini

Publication date 18 September 1992

Published in Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

\(AB\) model\(C\)-model\(K\)-modelestimationfull information maximum likelihood methodsidentificationinvertible matricesmacroeconomic modelmultivariate normal distributionnonstationaryrandom shocksstationarystructural VAR analysisSVAR models

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to statistics (62-02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Review text

This short monograph discusses the salient features of structural vector autoregressive models (VAR) in terms of both identification and estimation in the context of full information maximum likelihood (FIML) methods. Structural VAR analysis attempts to identify a set of independent shocks by means of a set of meaningful theoretical restrictions. The random shocks in this framework can be regarded as the ultimate source of stochastic variations of the vector of variables. Let \(y_ t\) be a set of \(n\) economic variables, jointly covariance stationary without any deterministic part and possessing a finite \(p\)-th order autoregressive representation as: \(A(L) y_ t=\varepsilon_ t\), where \(A(L)=I-A_ 1L-\dots-A_ pL^ p\), the roots of the equation \(\text{det}(A(L))=0\) are outside the unit circle and \(\varepsilon_ t\) has an independent multivariate normal distribution with zero mean and variance-covariance matrix \(\Sigma\). For the structural VAR model discussed in this monograph, three different ways of imposing structures into the model are considered: the \(K\)-model, the \(C\)-model and the \(AB\) model. The \(K\)-model introduces an invertible matrix \(K\) such that \(KA(L)y_ t=K\varepsilon_ t=e_ t\) where \(E(e_ te_ t')=I_ n\) and \(I_ n\) is the identity matrix. The \(C\)-model introduces an invertible matrix \(C\) such that \(\varepsilon_ t =Ce_ t\). The \(AB\) model introduces two invertible matrices \(A\) and \(B\) such that \(AA(L)y_ t=A\varepsilon_ t=Be_ t\) with \(E(e_ t)=0\) and \(E(e_ te_ t')=I_ n\). Estimation problems for these three types of SVAR models are discussed and extended to nonstationary contexts. This is followed by an empirical illustration of a five equation macroeconomic model based on Italian data.

Recommendations

• scientific article; zbMATH DE number 1122623
• Identifiability of structural singular vector autoregressive models
• Structural vector autoregressions: theory of identification and algorithms for inference
• VAR analysis, nonfundamental representations, Blaschke matrices

Cited in

(12)

• Aggregation of linear dynamic microeconomic models
• Business cycle analysis without much theory: A look at structural VARs
• An alternative approach to estimation of structural vector error correction models with long-run restrictions
• Business cycle analysis and VARMA models
• Structural analysis with multivariate autoregressive index models
• From a var model to a structural model, with an application to the wage–price spiral
• scientific article; zbMATH DE number 3905714 (Why is no real title available?)
• scientific article; zbMATH DE number 1122623 (Why is no real title available?)
• scientific article; zbMATH DE number 1834002 (Why is no real title available?)
• Identifiability of structural singular vector autoregressive models
• The ontological status of shocks and trends in macroeconomics
• An introductory review of a structural VAR-X estimation and applications

This page was built for publication: Topics in structural VAR econometrics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1189544)