Temporal aggregation and SVAR identification, with an application to fiscal policy

We show how to assess identifying assumptions for a low-frequency SVAR using estimates from a higher-frequency model. In our application quarterly data support identified annual SVARs in government spending and output by assuming zero within-year impact of output on spending.

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Year of publication:	2009
Authors:	Beetsma, Roel ; Giuliodori, Massimo ; Klaassen, Franc
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 105.2009, 3, p. 253-255
Publisher:	Elsevier
Keywords:	Structural vector autoregression (SVAR) Identification High frequency Low frequency Fiscal and monetary policy

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008474065