Econ Papers Daily / 期刊论文
具有多重符号与排序约束的大型结构向量自回归模型
Large structural VARs with multiple sign and ranking restrictions
摘要
Large VARs are increasingly used in structural analysis as a unified framework to study the impacts of multiple structural shocks simultaneously. However, the concurrent identification of multiple shocks using sign and ranking restrictions poses significant practical challenges to the point where existing algorithms cannot be used with such large VARs. To address this, we introduce a new numerically efficient algorithm that facilitates the estimation of impulse responses and related measures in large structural VARs identified with a large number of structural restrictions on impulse responses. The methodology is illustrated using a 35‐variable VAR with over 100 sign and ranking restrictions to identify 8 structural shocks.
中文摘要
大型VAR模型在结构分析中日益被用作统一框架，以同时研究多种结构性冲击的影响。然而，利用符号约束和排序约束同时识别多种冲击在实际操作中面临重大挑战，以至于现有算法无法应用于此类大型VAR模型。为解决这一问题，我们提出了一种新的数值高效算法，该算法有助于在大型结构VAR模型中估计脉冲响应及相关指标，这些模型通过大量脉冲响应结构约束进行识别。该方法通过一个包含35个变量、超过100个符号和排序约束的VAR模型来识别8种结构性冲击，并以此为例进行说明。