Structural Approaches to Vector Autoregressions

John W. Keating

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Monetary Policy and Economic Impact Economic Theory and Policy Forecasting Techniques and Applications

Abstract

John Keating reviews the principles of VAR analysis with particular emphasis on two structural VAR approaches. The two approaches impose restrictions on contemporaneous and long-run behavior to identify a structural model from the reduced form.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances 1990Inference in Linear Time Series Models with some Unit Roots 1986Alternative Explanations of the Money-Income Correlation 1986Are Forecasting Models Usable for Policy Analysis?

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