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We provide some generalization and clarification of the identification conditions for Structural VAR SVAR models given in Rubio–Ramírez et al 2010. In particular we show that their basic sufficient condition is also necessary. In addition we give necessary and sufficient conditions for identification almost everywhere in SVAR under homogenous restrictions irrespective of whether the model is exactly identified or over–identified. The modification of the order condition is also suggested.

Item Type: MPRA Paper -

Original Title: Further Results on Identification of Structural VAR Models-

Language: English-

Keywords: SVAR, identification-

Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - GeneralC - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space ModelsE - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy-

Autor: Kociecki, Andrzej

Fuente: https://mpra.ub.uni-muenchen.de/46536/

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