Estimating Overidentified, Non-Recursive, Time Varying Coefficients Structural VARs

32 Pages Posted: 25 Sep 2014

See all articles by Fabio Canova

Fabio Canova

BI Norwegian Business School

Fernando J. Pérez Forero

Central Reserve Bank of Peru

Date Written: June 2014

Abstract

This paper provides a general procedure to estimate structural VARs. 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 non-recursive) 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.

Keywords: Identification restrictions, Metropolis algorithm, Monetary transmission mechanism., Time-varying coefficient structural VAR models

JEL Classification: C11, E51, E52

Suggested Citation

Canova, Fabio and Pérez Forero, Fernando J., Estimating Overidentified, Non-Recursive, Time Varying Coefficients Structural VARs (June 2014). CEPR Discussion Paper No. DP10022, Available at SSRN: https://ssrn.com/abstract=2501494

Fabio Canova (Contact Author)

BI Norwegian Business School ( email )

Nydalsveien 37
Oslo, 0442
Norway

Fernando J. Pérez Forero

Central Reserve Bank of Peru ( email )

Jirón Miroquesada 441
Lima, Lima 1
Peru

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