The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Structural Vector Autoregressions

  • Jesús Fernández-Villaverde
  • Juan F. Rubio-Ramírez
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2633

Abstract

Structural vector autoregressions (SVARs) are a multivariate, linear representation of a vector of observables on its own lags. SVARs are used by economists to recover economic shocks from observables by imposing a minimum of assumptions compatible with a large class of models. This article reviews the relation of SVARs to dynamic stochastic general equilibrium models, discusses the normalization, identification, and estimation of SVARs, and concludes with an assessment of the advantages and drawbacks of SVARs.

Keywords

Bootstrap Dynamic stochastic general equilibrium models Estimation Identification Markov chain Monte Carlo methods Neoclassical growth theory Normalization Reduced-Form representation Sims, C. A. Structural vector autoregressions Vector autoregressions 
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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Jesús Fernández-Villaverde
    • 1
  • Juan F. Rubio-Ramírez
    • 1
  1. 1.