DSGE model restrictions for structural VAR identification

@inproceedings{Liu2009DSGEMR,
  title={DSGE model restrictions for structural VAR identification},
  author={Philip Liu and Konstantinos Theodoridis},
  year={2009}
}
The identification of reduced-form VAR model had been the subject of numerous debates in the literature. Different sets of identifying assumptions can lead to very different conclusions in the policy debate. This paper proposes a theoretical consistent identification strategy using restrictions implied by a DSGE model. Monte Carlo simulations suggest the proposed identification strategy is successful in recovering the true structural shocks from the data. In the face of misspecified model… CONTINUE READING

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