000			02647cam a22003737 4500
001			w23225
003			NBER
005			20211020104955.0
006			m o d
007			cr cnu||||||||
008			210910s2017 mau fo 000 0 eng d
100	1		_aLudvigson, Sydney C. _915658
245	1	0	_aShock Restricted Structural Vector-Autoregressions / _cSydney C. Ludvigson, Sai Ma, Serena Ng.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c2017.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w23225
500			_aMarch 2017.
520	3		_aIt is well known that the covariance structure of the data alone is not enough to identify an SVAR, and the conventional approach is to impose restrictions on the parameters of the model based on a priori theoretical considerations. This paper suggests that much can be gained by requiring the properties of the identified shocks to agree with major economic events that have been realized. We first show that even without additional restrictions, the data alone are often quite informative about the quantitatively important shocks that have occurred in the sample. We propose shrinking the set of solutions by imposing two types of inequality constraints on the shocks. The first restricts the sign and possibly magnitude of the shocks during unusual episodes in history. The second restricts the correlation between the shocks and variables external to the SVAR. The methodology provides a way to assess the validity of assumptions imposed as equality constraints. The effectiveness and limitations of this approach are exemplified with three applications.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
690		7	_aC01 - Econometrics _2Journal of Economic Literature class.
690		7	_aC5 - Econometric Modeling _2Journal of Economic Literature class.
690		7	_aC51 - Model Construction and Estimation _2Journal of Economic Literature class.
690		7	_aE17 - Forecasting and Simulation: Models and Applications _2Journal of Economic Literature class.
700	1		_aMa, Sai.
700	1		_aNg, Serena.
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w23225.
856	4	0	_uhttps://www.nber.org/papers/w23225
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w23225
942			_2ddc _cW-PAPER
999			_c324897 _d283459