Vector Autoregressions

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Identification• When monetary policy shocks andtechnology shocks are identified separately,have exact identification– no restrictions on the estimated VAR parameters• When shocks are identified simultaneously,there is over-identificationidentification.• We test this and do not reject.• See Altig, Christiano, Eichenbaum, Linde.
VAR estimation with the following data:The data have been transformed to ensure stationaritySample period: 1959Q1-2007Q1
Page 1 and 2: Brief Review of VARsLawrence J. Chr
Page 3: Outline of SVAR discussion• What
Page 15 and 16: Identifying Monetary Policy Shocks
Page 17 and 18: What is a Monetary Policy Shock?•
Page 22 and 23: Long Run Identification of Technolo
Page 27: • We will now estimate impulse re
Page 36: Timing Assumptions• ‘Extreme’
Page 39: Result of Allowing Output toRespond
Page 43 and 44: Historical Decomposition of Data•
Page 45 and 46: Type of technology shock that affec
Page 47 and 48: All three shocks together account f
Page 51 and 52: Fiscal Shocks• SVAR analysis of d
Page 53: Burnside, Eichenbaum and Fisher•
Page 56 and 57: Fiscal Theory• Equation depicting
Page 58: Conclusions of VAR discussion• We

Vector Autoregressions

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