Structure-Based SVAR Identification
Emanuele Bacchiocchi, Riccardo Lucchetti · Archivio Istituzionale della Ricerca (Universita Degli Studi Di Milano) · 2015
It may be desirable, for various reasons, to establish criteria for SVAR identification that do not depend on unknown parameters, but only on the set of restrictions that are imposed on the system a priori on theoretical grounds.In the context of linear systems, this was accomplished in Johansen (1995).This paper extends and amends the approach proposed by Lucchetti (2006); we introduce a set of criteria which ensure identification independently of unknown parameters for a reasonably general class of models and discuss its possible generalization.