Understanding and Solving the Structural Vector Autoregressive Identification Problem
The structural vector autoregressive model is a crucial time series model used to understand and predict economic impacts and outcomes. In this blog, we look closely at the identification problem posed by structural vector autoregressive models and its solution. In particular, we cover:
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- What is the structural VAR model and what is the reduced form VAR?
- What is the relationship between structural VAR and reduced form VAR models?
- What is the structural VAR identification problem?
- What are common solutions to the structural VAR identification problem?