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Alternative Maximum Likelihood Estimation of Structural Vector Autoregressive Models Partially Identified with Short‐Run Restrictions

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  • KYUNGHO JANG

Abstract

This paper presents an alternative maximum likelihood estimation method for partially identified vector autoregressive models. This method might be especially useful to handle very large systems of variables by reducing the dimension of the likelihood space. As an application, we consider an open economy model to investigate the effects of monetary policy on exchange rates and term structures. We find that exchange rates tend to overshoot and term structures have hump‐shaped responses to monetary policy shocks.

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  • Kyungho Jang, 2013. "Alternative Maximum Likelihood Estimation of Structural Vector Autoregressive Models Partially Identified with Short‐Run Restrictions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(2‐3), pages 465-476, March.
    • Handle: RePEc:wly:jmoncb:v:45:y:2013:i:2-3:p:465-476
    DOI: 10.1111/jmcb.12010
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