Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096089 | Journal of Econometrics | 2014 | 13 Pages |
Abstract
In structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. Unfortunately, these shocks may not have a meaningful structural economic interpretation. It is discussed how statistical and conventional identifying information can be combined. The discussion is based on a VAR model for the US containing oil prices, output, consumer prices and a short-term interest rate. The system has been used for studying the causes of the early millennium economic slowdown based on traditional identification with zero and long-run restrictions and using sign restrictions. We find that previously drawn conclusions are questionable in our framework.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Helmut Herwartz, Helmut Lütkepohl,