On the Identification of Structural Vector Autoregressions

FRB Richmond Economic Quarterly, Vol. 83, No. 3, Summer 1997, pp. 45-67

23 Pages Posted: 19 Nov 2012

Date Written: 1997

Abstract

Two principal conclusions emerge regarding the problem of identification in structural vector autoregression (SVAR) estimation. First, in a manner analogous to instrumental variables estimation with weak instruments, certain identification schemes can lead to parameter estimates whose distributional properties diverge from the traditional ones. The validity of the technique is, therefore, implicitly linked to the identification strategy adopted. Second, the dynamic implications that result from SVAR work can be highly sensitive to the choice of identifying restrictions. It follows that sensitivity analysis should form an integral part of the interpretation of SVAR results.

Suggested Citation

Sarte, Pierre-Daniel, On the Identification of Structural Vector Autoregressions (1997). FRB Richmond Economic Quarterly, Vol. 83, No. 3, Summer 1997, pp. 45-67. Available at SSRN: https://ssrn.com/abstract=2129826

Pierre-Daniel Sarte (Contact Author)

Federal Reserve Bank of Richmond ( email )

P.O. Box 27622
Richmond, VA 23261
United States

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