Emanuele Bacchiocchi, Toru Kitagawa
arXiv 8 Feb 2021 · Econometrics · 2 citations (OpenAlex)
arXiv:2102.04048 · PDF · DOI · OpenAlex · Extracted main text
In a landmark contribution to the structural vector autoregression (SVARs) literature, Rubio-Ramirez, Waggoner, and Zha (2010, `Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference,' Review of Economic Studies) shows a necessary and sufficient condition for equality restrictions to globally identify the structural parameters of a SVAR. The simplest form of the necessary and sufficient condition shown in Theorem 7 of Rubio-Ramirez et al (2010) checks the number of zero restrictions and the ranks of particular matrices without requiring knowledge of the true value of the structural or reduced-form parameters. However, this note shows by counterexample that this condition is not sufficient for global identification. Analytical investigation of the counterexample clarifies why their sufficiency claim breaks down. The problem with the rank condition is that it allows for the possibility that restrictions are redundant, in the sense that one or more restrictions may be implied by other restrictions, in which case the implied restriction contains no identifying information. We derive a modified necessary and sufficient condition for SVAR global identification and clarify how it can be assessed in practice.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | King, Robert G and C. I. Plosser and J. H. Stock and Watson, M.W Stochastic Trends and Economic Fluctuations | 0.511 | 2 | 1 | 100% |
| 2 | Jonas E. Arias and Dario Caldara and Juan F. Rubio-Ramírez (2019) The systematic component of monetary policy in SVARs: An agnostic identification procedure | 0.405 | 1 | 1 | 100% |
| 3 | Pooyan Amir-Ahmadi and Thorsten Drautzburg (2021) Identification and inference with ranking restrictions | 0.405 | 1 | 1 | 100% |
| 4 | J. Antolín-Díaz and J.F. Rubio-Ramírez (2018) Narrative Sign Restrictions for SVARs | 0.405 | 1 | 1 | 100% |
| 5 | J.E. Arias and J.F. Rubio-Ramírez and D.F Waggoner (2018) Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications | 0.405 | 1 | 1 | 100% |
| 6 | J. Boivin and M. Giannoni (2006) Has Monetary Policy Become More Effective? | 0.405 | 1 | 1 | 100% |
| 7 | Emanuele Bacchiocchi and Toru Kitagawa (2020) Locally- but not globally-identified SVARs self | 0.405 | 1 | 1 | 100% |
| 8 | Bernanke, Ben Alternative explanations of the money-income correlation | 0.405 | 1 | 1 | 100% |
| 9 | Blanchard, Olivier and Perotti, Roberto An empirical characterization of the dynamic effects of changes in government spending and taxes on output | 0.405 | 1 | 1 | 100% |
| 10 | Blanchard, Olivier and Quah, Danny The Dynamic Effects of Aggregate Demand and Aggregate Supply Shocks | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 19 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Algorithms for Inference in SVARs Identified with Sign and Zero Restrictions | 0.405 | 1 | 1 |