Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Consider the invertible reduced-from VAR with k variables: A(L)Y_t = u_t where A(L) is a lag polynomial and E[u_t u_t'] = Sigma, where Sigma has

Consider the invertible reduced-from VAR with k variables: A(L)Y_t = u_t where A(L) is a lag polynomial and E[u_t u_t'] = \Sigma, where \Sigma has non-zero diagonal entries. Assume, that there are k structural shocks that drive the system. Assume that the researcher has knowledge of short-run restrictions in order to identify the structural shock, s_{t,j} of the system. Show that in order to identify s_{t,j} and in order to compute IRFs with respect to that shock, the researcher doesn't have to identify the other structural shocks

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image_2

Step: 3

blur-text-image_3

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Applied Business Ethics A Skills-Based Approach

Authors: Dean Bredeson

1st edition

538453982, 978-1133419068, 1133419062, 978-0538453981

More Books

Students also viewed these Economics questions

Question

When should you avoid using exhaust brake select all that apply

Answered: 1 week ago

Question

hoW can inFormaTion sysTems imProve Process QualiTy?

Answered: 1 week ago