Am 25.04.2016 um 12:44 schrieb Andreas Zervas:

> coding, while adding identities in systems seems to me that it only
> extends a capability already present in the FIML estimator. But off
> course the programmers know better.

But why do you want to have identities for those estimators where they 
are irrelevant, given a situation where the simulation apparatus is not 
yet here?

Answer : For 2 reasons. Because for example one can simulate a basic macroeconomic model and do the transformations needed to impose the accounting identities, e.g. the GDP identity. A second reason is that I would like to be able to add debt in a fiscal VAR as exogenous (see Favero - Giavazzi AEJEP 2012), and simulate forecasts where debt follows its path dictated by the identity governing its evolution; I can do it on my own for a couple of models, but a general solution is preferable.

 (Sven:)
>  Personally I'm not a big fan of AB models, because I never saw a
> convincing case where you absolutely had to distribute your
> contemporaneous restrictions over two matrices.
>
(Andreas:)
> Answer: I work in fiscal policy issues - there the workhorse is the
> Blanchard - Perotti (2002) identification restrictions, that
> correspond to an AB model.

Right, I should have thought of that. Still I would be interested to see 
a direct comparison between the AB approach there and a competing C 
model doing the same thing. (It's a bit off-topic here, but if you have 
literature pointers they would be welcome.)

Answer: As the most common C models are Cholesky restrictions, placing government spending first as is customary does not make a big difference with AB models for fiscal policy. But it matters a lot for taxes.

 cheers,
sven

All best, 

Andreas