Structural VARs, deterministic and stochastic trends: How much detrending matters for shock identification

• Main Authors: Varang Wiriyawit, Benjamin Wong
• Other Authors: Reserve Bank of New Zealand
• Format: Article
• Published: 2018
• Subjects: Economics, Econometrics and Finance; Mathematics
• Online Access: https://repository.li.mahidol.ac.th/handle/123456789/43618
• Institution: Mahidol University

©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...