Sufficient information in structural VARs

• 成果类型: Article
• 署名作者: Forni, Mario; Gambetti, Luca
• 署名单位: Universita di Modena e Reggio Emilia; Center for Economic & Policy Research (CEPR); Autonomous University of Barcelona; Barcelona School of Economics
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.04.005
• 发表日期: 2014
• 页码: 124-136
• 关键词: Non-fundamentalness; FAVAR models; ABCD representation

摘要

Necessary and sufficient conditions under which a VAR contains sufficient information to estimate the structural shocks are derived. On the basis of this theoretical result we propose two simple tests to detect informational deficiency and a procedure to amend a deficient VAR. A simulation based on a DSGE model with fiscal foresight suggests that our method correctly identifies and fixes the informational problem. In an empirical application, we show that a bivariate VAR including unemployment and labor productivity is informationally deficient. Once the relevant information is included into the model, technology shocks appear to be contractionary. (C) 2014 Elsevier B.V. All rights reserved.