Are fiscal VAR’s non-fundamentalness easily reversible through the addition of informative variables?

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?

dc.creatorVonbun, Christian
dc.creatorLima, Elcyon Caiado Rocha
dc.date2021-02-02T20:04:43Z
dc.date2021-02-02T20:04:43Z
dc.date2021-01
dc.date.accessioned2023-09-28T19:23:00Z
dc.date.available2023-09-28T19:23:00Z
dc.identifierhttp://repositorio.ipea.gov.br/handle/11058/10454
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/9037822
dc.descriptionThe 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.
dc.description24 p.
dc.formatapplication/pdf
dc.formatapplication/pdf
dc.languageen-US
dc.publisherInstituto de Pesquisa Econômica Aplicada (Ipea)
dc.rightsInstituto de Pesquisa Econômica Aplicada (Ipea)
dc.rightsReproduction of this text and the data it contains is allowed as long as the source is cited. Reproductions for commercial purposes are prohibited.
dc.sourcehttp://www.ipea.gov.br
dc.subjectIPEA::Finanças Públicas. Bancos. Relações Monetárias Internacionais::Finanças Públicas. Tributação::Tributação::Política Fiscal
dc.subjectIPEA::Condições Econômicas. Pesquisa Econômica. Sistemas Econômicos::Econômica::Pesquisa Econômica::Modelos Econométricos
dc.subjectVAR
dc.subjectPolítica fiscal
dc.subjectMacroeconometria
dc.subjectFundamentalidade
dc.titleAre fiscal VAR’s non-fundamentalness easily reversible through the addition of informative variables?
dc.titleDiscussion Paper 253 : Are fiscal VAR’s non-fundamentalness easily reversible through the addition of informative variables?
dc.titleA não-fundamentalidade fiscal do VAR é facilmente reversível por meio da adição de variáveis ​​informativas?
dc.typeDiscussion Paper


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