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| 001 | 9.951211 |
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| 003 | CaOODSP |
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| 005 | 20250520115031 |
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| 006 | m o d f |
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| 007 | cr |n||||||||| |
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| 008 | 250520t20252025oncd ob f|0| 0 eng d |
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| 040 | |aCaOODSP|beng|erda|cCaOODSP |
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| 041 | |aeng|beng|bfre |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-5/2025-14E-PDF |
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| 100 | 1 |aLütkepohl, Helmut, |eauthor. |
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| 245 | 10|aPartial identification of heteroskedastic structural vector autoregressions : |btheory and Bayesian inference / |cHelmut Lütkepohl, Fei Shang, Luis Uzeda, Tomasz Woźniak. |
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| 264 | 1|a[Ottawa] : |bBank of Canada = Banque du Canada, |c2025. |
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| 264 | 4|c©2025 |
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| 300 | |a1 online resource (ii, 61 pages) : |bcharts. |
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| 336 | |atext|btxt|2rdacontent |
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| 337 | |acomputer|bc|2rdamedia |
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| 338 | |aonline resource|bcr|2rdacarrier |
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| 490 | 1 |aStaff working paper = Document de travail du personnel, |y1701-9397 ; |v2025-14 |
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| 500 | |a"Last updated: May 9, 2025." |
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| 504 | |aIncludes bibliographical references. |
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| 520 | |a"We consider structural vector autoregressions that are identified through stochastic volatility. Our analysis focuses on whether a particular structural shock can be identified through heteroskedasticity without imposing any sign or exclusion restrictions. Three contributions emerge from our exercise: (i) a set of conditions that ensures the matrix containing structural parameters is either partially or globally unique; (ii) a shrinkage prior distribution for the conditional variance of structural shocks, centred on the hypothesis of homoskedasticity; and (iii) a statistical procedure for assessing the validity of the conditions outlined in (i). Our shrinkage prior ensures that the evidence for identifying a structural shock relies predominantly on the data and is less influenced by the prior distribution. We demonstrate the usefulness of our framework through a fiscal structural model and a series of simulation exercises"--Abstract, page ii. |
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| 546 | |aIncludes abstract in French. |
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| 650 | 0|aEconomics|xStatistical methods. |
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| 650 | 0|aFiscal policy. |
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| 650 | 6|aÉconomie politique|xMéthodes statistiques. |
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| 650 | 6|aPolitique fiscale. |
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| 710 | 2 |aBank of Canada, |eauthor. |
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| 830 | #0|aStaff working paper (Bank of Canada)|v2025-14.|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s1.48 MB|uhttps://publications.gc.ca/collections/collection_2025/banque-bank-canada/FB3-5-2025-14-eng.pdf |
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