SVARs in the Frequency Domain using a Continuum of Restrictions

Alain Guay and Florian Pelgrin
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Alain Guay: University of Quebec in Montreal
Florian Pelgrin: EDHEC Business School

No 21-07, Working Papers from Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management

Abstract: This paper proposes a joint methodology for the identification and inference of structural vector autoregressive models in the frequency domain. We show that identifying restrictions can be written naturally as an asymptotic least squares problem (Gourieroux, Monfort and Trognon, 1985) in which there is a continuum of nonlinear estimating equations. Following Carrasco and Florens (2000), we then develop a continuum asymptotic least squares estimator (C-ALS) that exploits efficiently the continuum of estimating equations thereby allowing to obtain optimal consistent estimates of impulse responses and reliable confidence intervals. Moreover the identifying restrictions can be formally tested using an appropriate J-stat and the frequency band can be selected with a data-driven procedure. Finally, we provide some new results using Monte Carlo simulations and applications regarding the hours-productivity debate and the impact of news shocks.

Keywords: SVARs; Frequency domain; Asymptotic least squares; Continuum of identifying restrictions. (search for similar items in EconPapers)
JEL-codes: C12 C32 C51 (search for similar items in EconPapers)
Pages: 82 pages
Date: 2021-08
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:bbh:wpaper:21-07

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