Temporal aggregation and SVAR identification, with an application to fiscal policy
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| Publication date | 2009 |
| Journal | Economics Letters |
| Volume | Issue number | 105 | 3 |
| Pages (from-to) | 253-255 |
| Number of pages | 3 |
| Organisations |
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| Abstract |
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 |
| Document type | Article |
| Published at | https://doi.org/10.1016/j.econlet.2009.08.010 |
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