Blended Identification in Structural VARs
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Accepted version
Embargoed until: 2026-04-08
Embargoed until: 2026-04-08
Publisher
Publisher URL
DOI
doi.org/10.1016/j.jmoneco.2024.103581
Journal
Journal of Monetary Economics
ISSN
1873-1295
Metadata
Show full item recordAbstract
The proposed blended approach combines identification via heteroskedasticity with sign/narrative restrictions, and instrumental variables. Since heteroskedasticity can point identify shocks, its use results in a sharp reduction of the potentially large identified sets stemming from other approaches. Conversely, sign/narrative restrictions or instrumental variables offer natural solutions to the labeling problem and can help when conditions for point identification through heteroskedasticity are not met. Blending these methods together resolves their respective key issues and leverages their advantages. We illustrate the benefits of the approach in Monte Carlo experiments, and apply it to several examples taken from the literature.
Authors
Carriero, A; Marcellino, M; Tornese, TCollections
- Economics and Finance [371]