Please use this identifier to cite or link to this item: http://repositorio.ipea.gov.br/handle/11058/10454
Files in This Item:
File Description SizeFormat 
dp_253.pdf560.75 kBAdobe PDFView/Open
dp_253_sumex.pdf136.83 kBAdobe PDFView/Open
Title: Are fiscal VAR’s non-fundamentalness easily reversible through the addition of informative variables?
Other Titles: Discussion Paper 253 : Are fiscal VAR’s non-fundamentalness easily reversible through the addition of informative variables?
A não-fundamentalidade fiscal do VAR é facilmente reversível por meio da adição de variáveis ​​informativas?
Authors: Vonbun, Christian
Lima, Elcyon Caiado Rocha
Abstract: The VAR/SVAR (Vector Autoregressive and Structural Vector Autoregressive) models are the cornerstone of the contemporaneous empirical macroeconomic research, in particular for being able to measure the impact of fiscal policy shocks. They may be employed as atheoretical models, as well as a mean to support the estimation and testing of DSGE (Dynamic Stochastic General Equilibrium) models – the main theoretical tool for modern macroeconomics. Nevertheless, VAR models may be subject to pathologies, such as the non-fundamentalness. It is capable of biasing the estimates in any direction or intensity, and it consists of the non-invertibility of the MA (Moving Average) representation on the positive powers of the lag operator. This is associated with the insufficiency of the econometrician’s data to estimate the model’s correct parameters or with model misspecification. This study is the first to employ the latest and most efficient tests for non-fundamentalness on fiscal data for the USA: the Forni and Gambetti’s (2014) and Canova and Sahneh (2018) tests. The data and model were found to be non-fundamental.
Rights holder: Instituto de Pesquisa Econômica Aplicada (Ipea)
License: Reproduction of this text and the data it contains is allowed as long as the source is cited. Reproductions for commercial purposes are prohibited.
Type: Discussion Paper
Appears in Collections:Sistema Tributário: Livros



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.