Am 25.01.2020 um 15:38 schrieb Sven Schreiber:
Am 24.01.2020 um 20:46 schrieb anzer...@yahoo.com:
AB & SVECM: fiscal policy SVARs imposing deficit stationarity for
example, though I am sure other people would find other uses. This way
IRFs cannot diverge to unsustainable deficits.
OK, noted. I'll talk to a fiscal policy colleague about it. Not sure how
difficult it would be to enable or implement the AB + SVEC combination,
the AB code is really Jack's area.
P.S.: Let me just add that what you can do already is simply to leave
the model in levels and estimate it as an A-B model pretending the data
are stationary. (If the roots don't happen to be explosive, but most of
the time they're not in my experience.)
Of course, then you lose the possibility of imposing the long-run
constraints coming from cointegration. Would that be necessary in your
examples (fiscal SVAR with your deficit restriction)?
cheers
sven
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