Structural VARs, deterministic and stochastic trends: How much detrending matters for shock identification
©2016 by De Gruyter. 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 b...
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| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://repository.li.mahidol.ac.th/handle/123456789/43618 |
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| Institution: | Mahidol University |