Beetsma, R., Giuliodori, M. and Klaassen, F. (2009). Temporal aggregation and SVAR identification, with an application to fiscal policy Economics Letters, 105(3):253--255.
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Affiliated authors
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Publication year2009
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JournalEconomics Letters
We show how to assess identifying assumptions for a low-frequency SVAR using estimates from a higher-frequency model. In our application quarterly data support identified annual SVARs in government spending and output by assuming zero within-year impact of output on spending. Keywords: Structural vector autoregression (SVAR); Identification; High frequency; Low frequency; Fiscal and monetary policy JEL classification codes: E60; H60; C10