General-to-Specific Model Reduction Procedures for Structural Vector Autoregressions

Abstract

Structural vector autoregressive (SVAR) models have emerged as a dominant research strategy in empirical macroeconomics. Despite their advantages, just-identified SVAR models suffer from (i) the great number of parameters (“curse of dimensionality”), (ii) the resulting uncertainty associated with impulse responses, (iii) the existence of alternative… (More)

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