Identifiability of Structural Singular Vector Autoregressive Models

31 Oct 2020 Funovits Bernd Braumann Alexander

We generalize well-known results on structural identifiability of vector autoregressive models (VAR) to the case where the innovation covariance matrix has reduced rank. Structural singular VAR models appear, for example, as solutions of rational expectation models where the number of shocks is usually smaller than the number of endogenous variables, and as an essential building block in dynamic factor models... (read more)

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