arXiv Open Access 2025

Principled Identification of Structural Dynamic Models

Neville Francis Peter Reinhard Hansen Chen Tong

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Abstrak

We take a new perspective on identification in structural dynamic models: rather than imposing restrictions, we optimize an objective. This provides new theoretical insights into traditional Cholesky identification. A correlation-maximizing objective yields an Order- and Scale-Invariant Identification Scheme (OASIS) that selects the orthogonal rotation that best aligns structural shocks with their reduced-form innovations. We revisit a large number of SVAR studies and find, across 22 published SVARs, that the correlations between structural and reduced-form shocks are generally high.

Topik & Kata Kunci

econ.EM stat.ME

Penulis (3)

Neville Francis

Peter Reinhard Hansen

Chen Tong

Format Sitasi

APA MLA BibTeX

Francis, N., Hansen, P.R., Tong, C. (2025). Principled Identification of Structural Dynamic Models. https://arxiv.org/abs/2512.17005

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Informasi Jurnal

Tahun Terbit: 2025
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓