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.