Blended identification in structural VARs

Andrea Carriero, Massimiliano Marcellino*, Tommaso Tornese

*Autore corrispondente per questo lavoro

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer review

Abstract

The proposed blended approach combines identification via heteroskedasticity with sign/ narrative restrictions, and instrumental variables. Since heteroskedasticity can point identify shocks, its use results in a sharp reduction of the potentially large identified sets stemming from other approaches. Conversely, sign/narrative restrictions or instrumental variables offer natural solutions to the labeling problem and can help when conditions for point identification through heteroskedasticity are not met. Blending these methods together resolves their respective key issues and leverages their advantages. We illustrate the benefits of the approach in Monte Carlo experiments, and apply it to several examples taken from the literature.
Lingua originaleEnglish
pagine (da-a)1-17
Numero di pagine17
RivistaJournal of Monetary Economics
Volume146
DOI
Stato di pubblicazionePubblicato - 2024

Keywords

  • Heteroskedasticity
  • Identification
  • Proxy variables
  • SVAR
  • Sign restrictions

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