Identifying VAR models under rational expectations
This paper shows that the exclusion restrictions used to identify structural vector autoregressions (SVARs) generally yield inconsistent parameter estimates under rational expectations. I develop an alternative method of identifying rational-expectations models within the SVAR framework that circumv...
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| Veröffentlicht in: | Journal of monetary economics 1990-06, Vol.25 (3), p.453-476 |
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| container_end_page | 476 |
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| container_issue | 3 |
| container_start_page | 453 |
| container_title | Journal of monetary economics |
| container_volume | 25 |
| creator | Keating, John W. |
| description | This paper shows that the exclusion restrictions used to identify structural vector autoregressions (SVARs) generally yield inconsistent parameter estimates under rational expectations. I develop an alternative method of identifying rational-expectations models within the SVAR framework that circumvents the need of imposing stringent identifying restrictions on the dynamic processes for technologies, preferences, and other mechanisms (e.g., adjustment costs). These strong restrictions may explain why rational-expectations models are frequently rejected by the data. Two empirical examples demonstrate the feasibility and potential advantages of this alternative modeling strategy. |
| doi_str_mv | 10.1016/0304-3932(90)90063-A |
| format | Article |
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| identifier | ISSN: 0304-3932 |
| ispartof | Journal of monetary economics, 1990-06, Vol.25 (3), p.453-476 |
| issn | 0304-3932 1873-1295 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_37007380 |
| source | RePEc; Elsevier ScienceDirect Journals Complete; Periodicals Index Online |
| subjects | Economic models Economic theory Expected values Interest rates Money supply Rational expectations Regression analysis Restrictions Statistical analysis Studies Utility functions |
| title | Identifying VAR models under rational expectations |
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