Econometrics
May 2021
It is well known that if the relative variances of structural shocks change across time spans we label “regimes”, then the coefficients of a structural VAR (SVAR) are identified. If we assume that relative variances are constant within regimes, but in fact, they change within as well as across regimes, possibly because the dating of the regimes is inaccurate, the coefficients are nonetheless usually estimated consistently.
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