Title: Incorporating economic theory into structural vector autoregressions: A non-invasive approach
Authors: Sascha Keweloh - TU Dortmund University (Germany) [presenting]
Abstract: SVAR identification approaches are proposed to be based on information in higher moments with traditional restriction-based approaches. The proposed estimator allows the incorporation of prior economic knowledge using an adaptive ridge-type penalty. Therefore, the structure is incorporated in a non-invasive manner such that a correctly imposed structure improves the performance of the estimator, and the impact of an incorrectly imposed structure decreases with a sample size increase.