Quantitative Economics

Journal Of The Econometric Society

Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331

Quantitative Economics: Jul, 2015, Volume 6, Issue 2

Estimating overidentified, nonrecursive, time‐varying coefficients structural vector autoregressions

Fabio Canova, Fernando J. Pérez Forero

This paper provides a general procedure to estimate structural vector autoregressions. 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 nonlinear. It can deal in a unified way with just‐identified (recursive or nonrecursive) or overidentified systems where identification restrictions are of linear or of nonlinear form. We study the transmission of monetary policy shocks in models with time‐varying and time‐invariant parameters.

Time‐varying coefficient structural VAR models Metropolis algorithm identification restrictions monetary transmission mechanism C11 E51 E52


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Supplemental Material

Supplement to "Estimating overidentified, nonrecursive, time‐varying coefficients structural vector autoregressions"

Supplement to "Estimating overidentified, nonrecursive, time‐varying coefficients structural vector autoregressions"

Supplement to "Estimating overidentified, nonrecursive, time‐varying coefficients structural vector autoregressions"