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IDENTIFICATION OF ONE INDEPENDENT SHOCK IN STRUCTURAL VARS

Gabriele Fiorentini, Alessio Moneta and Francesca Papagni

LEM Papers Series from Laboratory of Economics and Management (LEM), Sant'Anna
School of Advanced Studies, Pisa, Italy

Abstract: We establish the identification of a specific shock in a structural
vector autoregressive model under the assumption that this shock is independent
of the other shocks in the system, without requiring the latter shocks to be
mutually independent, unlike the typical assumptions in the independent
component analysis literature. The shock of interest can be either non-Gaussian
or Gaussian, but, in the latter case, the other shocks must be jointly
non-Gaussian. We formally prove the global identification of the shock and the
associated column of the impact multiplier matrix, and discuss parameter
estimation by maximum likelihood. We conduct a detailed Monte Carlo simulation
to illustrate the finite sample behavior of our identification and estimation
procedure. Finally, we estimate the dynamic effect of a contraction in economic
activity on some measures of economic policy uncertainty.

Keywords: Independent component analysis; Non-Gaussian maximum likelihood;
Impact multipliers; Economic policy uncertainty (search for similar items in
EconPapers)
Date: 2024-10-31
References: Add references at CitEc
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Downloads: (external link)
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