Séminaire COURNOT – Patrick FEVE (Toulouse School of Economics)
De 14:00 à 15:30
Détails de l'événement :
Title: Dynamic Identification in VARs
Co-authors: Paul Beaudry, Fabrice Collard, Patrick Fève, Alain Guay & Franck Portier
Abstract: We prove that the dynamics structure of Dynamic Stochastic General Equilibrium models brings enough restrictions to generically identify structural shocks in a Vector Autoregressive model. We denote this representation a D-SVAR. We show that the estimation of the D-SVAR is a hidden step in a full information estimation of a DSGE model. We then show the interest of such a structural representation by mean of examples.