DP14603 Advances in Structural Vector Autoregressions with Imperfect Identifying Information

Author(s): Christiane Baumeister, James Hamilton
Publication Date: April 2020
Keyword(s): Bayesian Analysis, Elasticities, identification, proxy VARs, sign restrictions, structural vector autoregressions
JEL(s): C11, C32, Q43
Programme Areas: International Macroeconomics and Finance, Monetary Economics and Fluctuations
Link to this Page: cepr.org/active/publications/discussion_papers/dp.php?dpno=14603

This paper examines methods for structural interpretation of vector autoregressions when the identifying information is regarded as imperfect or incomplete. We suggest that a Bayesian approach offers a unifying theme for guiding inference in such settings. Among other advantages, the unified approach solves a problem with calculating elasticities that appears not to have been recognized by earlier researchers. We also call attention to some computational concerns of which researchers who approach this problem using other methods should be aware.