Identification of technology shocks using misspecified VARs | Zendy

Demirel Ufuk Devrim | Zendy

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Identification of technology shocks using misspecified VARs

Author(s) -

Demirel Ufuk Devrim

Publication year - 2015

Publication title -

canadian journal of economics/revue canadienne d'économique

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.773

H-Index - 69

eISSN - 1540-5982

pISSN - 0008-4085

DOI - 10.1111/caje.12149

Subject(s) - econometrics , identification (biology) , lag , range (aeronautics) , shock (circulatory) , technology shock , process (computing) , per capita , computer science , economics , macroeconomics , monetary policy , engineering , dynamic stochastic general equilibrium , sociology , medicine , biology , aerospace engineering , operating system , computer network , population , botany , demography

Studies that evaluate the effects of technology shocks often employ structural VARs identified with long‐run restrictions. In the presence of a mismatch between the lag structures of the true data‐generating process and the adopted VAR, estimates based on long‐run restrictions can be biased. This paper offers a method that can reduce this bias substantially. Using artificial data, I assess the performance of the proposed method and find that it can outperform a range of alternative procedures. Applying the procedure to the US data, I find that per‐capita hours exhibit a positive hump‐shaped response profile in response to a technology shock.

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