Search found 2 matches
- Tue Apr 05, 2022 7:44 am
- Forum: Econometric Discussions
- Topic: Exclusion restrictions as instrumental variables in VAR
- Replies: 0
- Views: 24367
Exclusion restrictions as instrumental variables in VAR
I'd like to know if my intuition behind exclusion restrictions that we place to identify the structural vector autoregressive (VAR) models is correct. Let's say we have a very simple 2-dimensional system described by two equations (z,c). We identify the structural coefficients of the VAR by assuming...
- Tue Mar 29, 2022 2:03 pm
- Forum: Estimation
- Topic: Instrumental Variable (IV) VAR IDENTIFICATION
- Replies: 0
- Views: 14166
Instrumental Variable (IV) VAR IDENTIFICATION
Hi everyone, I'm trying to identify the VAR as proposed by Shapiro and Watson (1988) by the means of an instrumental variable approach. The results should match the classical estimation of VARs by OLS. My system is made up of 3 variables, and the identification is placed on the long-run effect matri...