التفاصيل البيبلوغرافية
| العنوان: |
Partial identification of heteroskedastic structural VARs: Theory and Bayesian inference |
| المؤلفون: |
Lütkepohl, Helmut, Shang, Fei, Uzeda, Luis, Woźniak, Tomasz |
| بيانات النشر: |
Deutsches Institut für Wirtschaftsforschung (DIW) |
| سنة النشر: |
2024 |
| المجموعة: |
LeibnizOpen (The Leibniz Association) |
| مصطلحات موضوعية: |
jel:C11, jel:C12, jel:C32, jel:E62, Identification Through Heteroskedasticity, Stochastic Volatility, Non-centred Parameterisation, Shrinkage Prior, Normal Product Distribution, Tax Shocks |
| الوصف: |
We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a particular structural shock is identified by heteroskedasticity without the need to impose any sign or exclusion restrictions. Three contributions emerge from our exercise: (i) a set of conditions under which the matrix containing structural parameters is partially or globally unique; (ii) a statistical procedure to assess the validity of the conditions mentioned above; and (iii) a shrinkage prior distribution for conditional variances centred on a hypothesis of homoskedasticity. Such a prior ensures that the evidence for identifying a structural shock comes only from the data and is not favoured by the prior. We illustrate our new methods using a U.S. fiscal structural model. |
| نوع الوثيقة: |
report |
| اللغة: |
English |
| الاتاحة: |
https://www.econstor.eu/bitstream/10419/295170/1/1888297808.pdf |
| Rights: |
https://www.econstor.eu/dspace/Nutzungsbedingungen |
| رقم الانضمام: |
edsbas.ECBEF |
| قاعدة البيانات: |
BASE |