Structural Vector Autoregressions

54 Pages Posted: 12 Aug 2011

See all articles by Lutz Kilian

Lutz Kilian

University of Michigan at Ann Arbor - Department of Economics; Centre for Economic Policy Research (CEPR)

Date Written: August 2011

Abstract

Structural vector autoregressive (VAR) models were introduced in 1980 as an alternative to traditional large-scale macroeconometric models when the theoretical and empirical support for these models became increasingly doubtful. Initial applications of the structural VAR methodology often were atheoretical in that users paid insufficient attention to the conditions required for identifying causal effects in the data. In response to ongoing questions about the validity of widely used identifying assumptions the structural VAR literature has continuously evolved since the 1980s. This survey traces the evolution of this literature. It focuses on alternative approaches to the identification of structural shocks within the framework of a reduced-form VAR model, highlighting the conditions under which each approach is valid and discussing potential limitations of commonly employed methods.

Keywords: Identification, Structural model, VAR

JEL Classification: C32, C51

Suggested Citation

Kilian, Lutz, Structural Vector Autoregressions (August 2011). CEPR Discussion Paper No. DP8515. Available at SSRN: https://ssrn.com/abstract=1908563

Lutz Kilian (Contact Author)

University of Michigan at Ann Arbor - Department of Economics ( email )

611 Tappan Street
Ann Arbor, MI 48109-1220
United States
734-764-2320 (Phone)
734-764-2769 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Register to save articles to
your library

Register

Paper statistics

Downloads
7
Abstract Views
1,438
PlumX Metrics
!

Under construction: SSRN citations will be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information