Blended identification in structural VARs

Andrea Carriero, Massimiliano Marcellino and Tommaso Tornese

Journal of Monetary Economics, 2024, vol. 146, issue C

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.

Keywords: SVAR; Identification; Heteroskedasticity; Sign restrictions; Proxy variables (search for similar items in EconPapers)
JEL-codes: C11 C32 D81 E32 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Blended Identification in Structural VARs (2023)
Working Paper: Blended Identification in Structural VARs (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:146:y:2024:i:c:s0304393224000345

DOI: 10.1016/j.jmoneco.2024.103581

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