Structural VARs, deterministic and stochastic trends: how much detrending matters for shock identification
-
Altmetric Citations
Wiriyawit, Varang; Wong, Benjamin
Description
Detrending within structural vector autoregressions (SVAR) is directly linked to the shock identification. We investigate the consequences of trend misspecification in an SVAR using both standard real business cycle models and bi-variate SVARs as data generating processes. Our bias decomposition reveals biases arising directly from trend misspecification are not trivial when compared to other widely studied misspecifications. Misspecifying the trend also distorts impulse response functions of...[Show more]
Collections | ANU Research Publications |
---|---|
Date published: | 2015-10 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/109787 |
Source: | Studies in Nonlinear Dynamics & Econometrics |
DOI: | 10.1515/snde-2015-0030 |
Download
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.
Updated: 19 May 2020/ Responsible Officer: University Librarian/ Page Contact: Library Systems & Web Coordinator