An IV framework for combining sign and long-run parametric restrictions in SVARs

Lance A. Fisher, Hyeon-seung Huh

Research output: Contribution to journalArticlepeer-review

Abstract

This paper derives the sufficient conditions on the coefficients in a system of structural equations which imply the long-run exclusion restrictions on the impulse responses which are used to identify the model. A recent contribution shows a method to impose the sufficient conditions on the structural equations and to estimate them by instrumental variables (IV). This method has the advantage that it can be combined with a new method for sign restrictions which can be cast in an IV framework. This paper shows that the sufficient conditions which imply the two long-run exclusion restrictions in a SVAR taken from the literature imply other long-run exclusion restrictions as well which are not part of the identifying assumptions. In this case, this method is not suitable. This paper shows how to impose the two long-run exclusion restrictions directly on the structural equations of the model on each draw in sign restrictions which utilizes the IV method.

Original languageEnglish
Article number103125
Pages (from-to)1-12
Number of pages12
JournalJournal of Macroeconomics
Volume61
DOIs
Publication statusPublished - 1 Sep 2019

Keywords

  • Algorithms
  • Generated coefficients
  • Instrumental variables
  • Long-run parametric restrictions
  • Sign restrictions
  • Structural vector-autoregression

Fingerprint

Dive into the research topics of 'An IV framework for combining sign and long-run parametric restrictions in SVARs'. Together they form a unique fingerprint.

Cite this