Structural VAR estimation with exogeneity restrictions

Article Abstract:

Studies have revealed that exogeneity restrictions are natural in macroeconomic models of small open economies. However, these restrictions have also been found to make overidentification more likely. These restrictions usually come in the form of predeterminedness and Granger noncausality. Overidentified systems with exogeneity restrictions are incompatible with the usual two-steps approach to inference, which is also not equivalent to ML estimation.

Administration of General Economic Programs, Economic Planning & Research, Research, Economic conditions, Economic forecasting, Vector analysis

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Structural VAR estimation with exogeneity restrictions

Article Abstract:

A simple modification of the two-step approach to structural vector autoregression (VAR) estimation is proposed. The modification, which involves the use of a simple iterative scheme based on the Bernanke procedure, produces Maximum Likelihood estimators. The scheme can be used for statistical inference in overidentifed VARs with exogeneity restrictions.

Methods, Autoregression (Statistics)

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Testing the exogeneity of Argentine devaluation and default risks in retrospect

Article Abstract:

Continuing devaluation of Argentinian currency and its relation with default risks are reviewed.

Argentina, Evaluation, Economic aspects, Causes of, Risk (Economics), Currency devaluation, Devaluation (Currency)

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