DP10022 Estimating overidentified, non-recursive, time varying coefficients structural VARs

Author(s): Fabio Canova, Fernando J. Pérez Forero
Publication Date: June 2014
Keyword(s): Identification restrictions, Metropolis algorithm, Monetary transmission mechanism., Time-varying coefficient structural VAR models
JEL(s): C11, E51, E52
Programme Areas: International Macroeconomics
Link to this Page: cepr.org/active/publications/discussion_papers/dp.php?dpno=10022

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.