Neville Francis, Peter Reinhard Hansen, Chen Tong
arXiv 18 Dec 2025 · Econometrics
arXiv:2512.17005 · PDF · DOI · OpenAlex · Extracted main text
We take a new perspective on identification in structural dynamic models: rather than imposing restrictions, we optimize an objective. This provides new theoretical insights into traditional Cholesky identification. A correlation-maximizing objective yields an Order- and Scale-Invariant Identification Scheme (OASIS) that selects the orthogonal rotation that best aligns structural shocks with their reduced-form innovations. We revisit a large number of SVAR studies and find, across 22 published SVARs, that the correlations between structural and reduced-form shocks are generally high.
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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 | Mertens, K. and Ravn, M. O (2013) The dynamic effects of personal and corporate income tax changes in the united states | 1.000 | 8 | 3 | 100% |
| 2 | Stock, J. H. and Watson, M. W (2012) Disentangling the channels of the 2007–2009 recession | 0.965 | 10 | 4 | 90% |
| 3 | Leeper, E., Sims, C., and Zha, T (1996) What does monetary policy do? | 0.644 | 4 | 1 | 100% |
| 4 | Blanchard, O. J. and Perotti, R (2002) An empirical characterization of the dynamic effects of changes in government spending and taxes on output | 0.644 | 4 | 1 | 100% |
| 5 | Bernanke, B. S (1986) Alternative explanations of the money-income correlation | 0.644 | 2 | 2 | 100% |
| 6 | Chan, J. C. C., Koop, G., and Yu, X (2024) Large order-invariant Bayesian VARs with stochastic volatility | 0.644 | 2 | 2 | 100% |
| 7 | Fry, R. and Pagan, A (2011) Sign restrictions in structural vector autoregressions: A critical review | 0.644 | 2 | 2 | 100% |
| 8 | Kessy, A., Lewin, A., and Strimmer, K (2018) Optimal whitening and decorrelation | 0.644 | 2 | 2 | 100% |
| 9 | Basu, S. and Bundick, B (2017) Uncertainty shocks in a model of effective demand | 0.644 | 2 | 2 | 100% |
| 10 | Engle, R. F. and Issler, J. V (1995) Estimating common sectoral cycles | 0.585 | 3 | 1 | 100% |
Showing the top 10 of 79 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Simultaneous Clustered Orthogonalization | 1.000 | 12 | 7 |