New Approaches to the Identification of Low-Frequency Drivers : An Application to Technology Shocks (English)

This paper addresses the identification of low-frequency macroeconomic shocks, such as technology, in Structural Vector Autoregressions. Whilst identification issues with long-run restricted VARs are well documented, the recent attempt to overcome said issues using the Max-Share approach of Francis et al. (2014) and Barsky and Sims (2011) has its own shortcomings, primarily that they are vulnerable to bias from confounding non-technology shocks. A...

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Author

Dieppe,Alistair Matthew;

Neville,Francis;

Kindberg-Hanlon,Gene;
Document Date
2019/10/24
Document Type
Policy Research Working Paper
Report Number
WPS9047
Volume No
1
Total Volume(s)
1
Country
World,
Region
Other,
Disclosure Date
2019/10/24
Disclosure Status
Disclosed
Doc Name
New Approaches to the Identification of Low-Frequency Drivers : An Application to Technology Shocks
Keywords
technology shock

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Citation

Dieppe,Alistair Matthew; Neville,Francis; Kindberg-Hanlon,Gene.

New Approaches to the Identification of Low-Frequency Drivers : An Application to Technology Shocks (English). Policy Research working paper|no. WPS 9047 Washington, D.C. : World Bank Group. http://documents.worldbank.org/curated/en/133781571930814658

New Approaches to the Identification of Low-Frequency Drivers : An Application to Technology Shocks (English)

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