Topics in Structural VAR Econometrics

1. Introduction 1 2. Identification Analysis and F. I. M. L. Estimation for the K-Mode1 10 3. Identification Analysis and F. I. ML. Estimation for the C-Model 23 4. Identification Analysis and F. I. M. L. Estimation for the AB-Model 32 5. Impulse Response Analysis and Forecast Error Variance Decomposition in SVAR Modeling 44 5 . a Impulse Response Analysis 44 5. b Variance Decomposition (by Antonio Lanzarotti) 51 6. Long-run A-priori Information. Deterministic Components. Cointegration 58 6. a Long-run A-priori Information 58 6. b Deterministic Components 62 6. c Cointegration 65 7. The Working of an AB-Model 71 Annex 1: The Notions ofReduced Form and Structure in Structural VAR Modeling 83 Annex 2: Some Considerations on the Semantics, Choice and Management of the K, C and AB-Models 87 Appendix A 93 Appendix B 96 Appendix C (by Antonio Lanzarotti and Mario Seghelini) 99 Appendix D (by Antonio Lanzarotti and Mario Seghelini) 109 References 128 Foreword In recent years a growing interest in the structural VAR approach (SVAR) has followed the path-breaking works by Blanchard and Watson (1986), Bemanke (1986) and Sims (1986), especially in U. S. applied macroeconometric literature. The approach can be used in two different, partially overlapping directions: the interpretation ofbusiness cycle fluctuations of a small number of significantmacroeconomic variables and the identification of the effects of different policies.