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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
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dc.contributor.author | Hannsgen, Greg | en |
dc.date.accessioned | 2012-04-12T14:18:45Z | - |
dc.date.available | 2012-04-12T14:18:45Z | - |
dc.date.issued | 2010 | - |
dc.identifier.uri | http://hdl.handle.net/10419/57001 | - |
dc.description.abstract | The process of constructing impulse-response functions (IRFs) and forecast-error variance decompositions (FEVDs) for a structural vector autoregression (SVAR) usually involves a factorization of an estimate of the error-term variance-covariance matrix V. Examining residuals from a monetary VAR, this paper finds evidence suggesting that all of the variances in V are infinite. Specifically, this study estimates alpha-stable distributions for the reducedform error terms. The ML estimates of the residuals' characteristic exponents » range from 1.5504 to 1.7734, with the Gaussian case lying outside 95 percent asymptotic confidence intervals for all six equations of the VAR. Variance-stabilized P-P plots show that the estimated distributions fit the residuals well. Results for subsamples are varied, while GARCH(1,1) filtering yields standardized shocks that are also all likely to be non-Gaussian alpha stable. When one or more error terms have infinite variance, V cannot be factored. Moreover, by Proposition 1, the reduced-form DGP cannot be transformed, using the required nonsingular matrix, into an appropriate system of structural equations with orthogonal, or even finite-variance, shocks. This result holds with arbitrary sets of identifying restrictions, including even the null set. Hence, with one or more infinite-variance error terms, structural interpretation of the reduced-form VAR within the standard SVAR model is impossible. | en |
dc.language.iso | eng | en |
dc.publisher | |aLevy Economics Institute of Bard College |cAnnandale-on-Hudson, NY | en |
dc.relation.ispartofseries | |aWorking Paper |x596 | en |
dc.subject.jel | C32 | en |
dc.subject.jel | C46 | en |
dc.subject.jel | E30 | en |
dc.subject.jel | E52 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | structural vector autoregression | en |
dc.subject.keyword | VAR | en |
dc.subject.keyword | Lévy-stable distribution | en |
dc.subject.keyword | infinite variance | en |
dc.subject.keyword | monetary policy shocks | en |
dc.subject.keyword | heavy-tailed error terms | en |
dc.subject.keyword | factorization | en |
dc.subject.keyword | impulse response function | en |
dc.subject.keyword | transformability problem | en |
dc.title | Infinite-variance, alpha-stable shocks in monetary SVAR | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 629688354 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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