- Temporal aggregation and SVAR identification, with an application to fiscal policy
- Economics Letters
- Volume | Issue number
- 105 | 3
- Pages (from-to)
- Number of pages
- Document type
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
- We show how to assess identifying assumptions for a low-frequency SVAR using estimates from a higher-frequency model. In our
application quarterly data support identified annual SVARs in government spending and output by assuming zero within-year
impact of output on spending.
Keywords: Structural vector autoregression (SVAR); Identification; High frequency; Low frequency; Fiscal and monetary policy
JEL classification codes: E60; H60; C10
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