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Further Results on Identification of Structural VAR Models

Kociecki, Andrzej (2013): Further Results on Identification of Structural VAR Models.

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Abstract

We provide some generalization and clarification of the identification conditions for Structural VAR (SVAR) models given in Rubio–Ramírez et al (2010). In particular we show that their basic sufficient condition is also necessary. In addition we give necessary and sufficient conditions for identification almost everywhere in SVAR under homogenous restrictions irrespective of whether the model is exactly identified or over–identified. The modification of the order condition is also suggested.

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