Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions

Fabio Canova, Fernando J. Pérez Forero

This paper provides a general procedure to estimate structural vector autoregressions. The algorithm can be used in constant or time-varying coefficient models, and in the latter case, the law of motion of the coefficients can be linear or non-linear. It can deal in a unified way with just-identified (recursive or nonrecursive) or overidentified systems where identification restrictions are of linear or of non-linear form. We study the transmission of monetary policy shocks in models with time-varying and time-invariant parameters.

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Year of publication:	July 2015
Authors:	Canova, Fabio ; Pèrez Forero, Fernando J.
Published in:	Quantitative economics : QE ; journal of the Econometric Society. - Oxford [u.a.] : Wiley, ISSN 1759-7331, ZDB-ID 2569569-1. - Vol. 6.2015, 2, p. 359-384
Subject:	Time-varying coefficient structural VAR models \| Metropolis algorithm \| identification restrictions \| monetary transmission mechanism \| VAR-Modell \| VAR model \| Geldpolitische Transmission \| Monetary transmission \| Algorithmus \| Algorithm \| Schock \| Shock \| Schätztheorie \| Estimation theory \| Geldpolitik \| Monetary policy \| Strukturgleichungsmodell \| Structural equation model