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Kilian and Luetkepohl: Nice Section on Kurmann and Mertens (2014)

posted Mar 19, 2018, 11:21 PM by Elmar Mertens   [ updated Mar 19, 2018, 11:24 PM ]
Kilian and Luetkepohl's SVAR monograph is out; a great book! 

A nice bit is also their description of my paper with Andre Kurmann (2014, AER) that showed how the original news shock identification of Beaudry and Portier (2006, AER; "BP") falls apart when there are more than two variables in their VECM. (The model has a common trend which limits the number of independent long-run restriction to just one.)

See here for more on our paper as well as Chapter 10 of the Kilian and Luetkepohl book.

Here is a figure from our paper that shows the range of impulse responses consistent with the BP news-shock identification: