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Title: Estimating overidentified, non-recursive, time varying coefficients structural VARs

Author(s): Fabio Canova and Fernando J. Pérez Forero

Publication Date: June 2014

Keyword(s): Identification restrictions, Metropolis algorithm, Monetary transmission mechanism. and Time-varying coefficient structural VAR models

Programme Area(s): International Macroeconomics

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.

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Bibliographic Reference

Canova, F and Pérez Forero, F. 2014. 'Estimating overidentified, non-recursive, time varying coefficients structural VARs'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=10022