Smooth-transition SVAR and external instrument: Insights on the identifying assumptions

IF 2.1 4区经济学 Q2 ECONOMICS

Economics Letters Pub Date : 2024-08-09 DOI:10.1016/j.econlet.2024.111902

Giovanni Barci

引用次数: 0

Abstract

Identification of smooth-transition VAR structural parameters using an external instrument requires supplementary assumptions relative to the benchmark linear case. This paper shows that such additional discretion may have relevant implications for impulse response functions estimates.

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平滑过渡 SVAR 和外部工具：关于识别假设的见解

相对于基准线性情况，使用外部工具识别平稳过渡 VAR 结构参数需要额外的假设。本文表明，这种额外的自由裁量权可能会对脉冲响应函数的估计产生相关影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Economics Letters ECONOMICS-

CiteScore

3.20

自引率

5.00%

发文量

348

审稿时长

30 days

期刊介绍： Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.