Neusser, Klaus (March 2016). A Topological View on the Identification of Structural Vector Autoregressions (Discussion Papers 16-04). Bern: Department of Economics
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The notion of the group of orthogonal matrices acting on the set of all feasible identification schemes is used to characterize the identification problem arising in structural vector autoregressions. This approach presents several conceptual advantages. First, it provides a
fundamental justification for the use of the normalized Haar measure as the natural uninformative prior. Second, it allows to derive the joint distribution of blocks of parameters defining an identification scheme. Finally, it provides a coherent way for studying perturbations of identification schemes becomes relevant, among other things, for the specification of vector autoregressions with time-varying covariance matrices.
Item Type: |
Working Paper |
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Division/Institute: |
03 Faculty of Business, Economics and Social Sciences > Department of Economics |
UniBE Contributor: |
Neusser, Klaus |
Subjects: |
300 Social sciences, sociology & anthropology > 330 Economics |
Series: |
Discussion Papers |
Publisher: |
Department of Economics |
Language: |
English |
Submitter: |
Lars Tschannen |
Date Deposited: |
28 Dec 2020 08:55 |
Last Modified: |
05 Dec 2022 15:40 |
JEL Classification: |
C1, C18, C32 |
BORIS DOI: |
10.48350/145828 |
URI: |
https://boris.unibe.ch/id/eprint/145828 |
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