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
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.
Personally I'm not a big fan of AB models, because I never saw
convincing case where you absolutely had to distribute your
contemporaneous restrictions over two matrices.
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.