| Title: | Block Recursion and Structural Vector Autoregressions |
| Author: | Zha, Tao |
| Author Affiliation: | Federal Reserve Bank of Atlanta |
| Source: | Journal of Econometrics, June 1999, v. 90, iss. 2, pp. 291-316 |
| Publication Date: | June 1999 |
| Abstract: | In applications of structural VAR modeling, finite-sample properties may be difficult to obtain when certain identifying restrictions are imposed on lagged relationships. As a result, even though imposing some lagged restrictions makes economic sense, lagged relationships are often left unrestricted to make statistical inference more convenient. This paper develops block Monte Carlo methods to obtain both maximum likelihood estimates and exact Bayesian inference when certain types of restrictions are imposed on the lag structure. These methods are applied to two examples to illustrate the importance of imposing restrictions on lagged relationships. |
| Descriptors: | Time Series and Spectral Analysis Econometric and Statistical Methods and Models: Multivariate Analysis, Statistical Information Theory, and Other Special Inferential Problems; Queuing Theory; Markov Chains Inferential Problems in Simultaneous Equation Systems Natural Resources--General Conservation and Pollution Energy Econometric Methods: Multiple/Simultaneous Equation Models: Time-Series Models Nonrenewable Resources and Conservation: Government Policy (includes OPEC policy) |
| ISSN: | 03044076 |
| Publication Type: | Journal Article |
| Availability: | http://www.elsevier.com/homepage/sae/econbase/econom/ |