Non-Invertibilities and Structural VARs

@inproceedings{Sims2009NonInvertibilitiesAS,
  title={Non-Invertibilities and Structural VARs},
  author={Eric R. Sims},
  year={2009}
}
This paper sheds light on how important non-invertibilities are for applied work with structural vector autoregressions (VARs). Non-invertibilities arise when important state variables from a dynamic economic model are unobserved by an econometrician estimating a VAR. The non-observation of the full state vector may drive a wedge between the VAR innovations and the economic shocks, potentially invalidating conclusions drawn from structural impulse response analysis. This paper shows that… CONTINUE READING

From This Paper

Figures, tables, and topics from this paper.

References

Publications referenced by this paper.
Showing 1-10 of 11 references

“News Shocks.”Working paper, University of Michigan

Barsky, Robert, Eric Sims
2009

“Are Structural VARs with Long Run Restrictions Useful in Developing Business Cycle Theory?”

VV Chari, Patrick Kehoe, Ellen McGrattan
Journal of Monetary Economics • 2008
View 1 Excerpt

An Exploration into Pigou ’ s Theory of Cycles

Paul Beaudrya, Franck Portierd
2003

“The Dynamic E¤ects of Aggregate Demand and Supply: A Comment.”

Lippi, Marco, Lucrezia Reichlin
American Economic Review • 1993

“Two Di¢ culties in Interpreting Vector Autoregressions.” in Robert Lucas and Thomas Sargent (editors

Hansen, Lars, Thomas Sargent
Rational Expectations Econometrics, • 1991

Similar Papers

Loading similar papers…