Common Components Structural VARs
Bibliographic Data
| ID | 19420207 |
|---|---|
| Authors | Mario Forni (0000-0003-0256-8735, Università di Modena e Reggio Emilia and RECent), Luca Gambetti (Universitat Autònoma de Barcelona and BGSE), Marco Lippi (0000-0002-9663-1071, Einaudi Institute for Economics and Finance), Luca Sala (0000-0001-8528-031X, Università Bocconi, IGIER and Baffi Carefin, corresponding author) |
| Year | 2026 |
| Volume | 44 |
| Issue | 1 |
| Pages | 39-52 |
| Publication date | 2026-01-02 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2025.2495030 |
| OpenAlex | W3132579475 |
| Language | EN |
| Citations received | 1 |
| References cited | 39 |
Structural VAR models (SVAR) produce results that can vary dramatically with the choice of variables, because information is deficient. We argue that if the variables of interest belong to a High-Dimensional Factor Model and are replaced in the SVAR by their common components, the information issue finds a solution, provided that the number of common components is larger than the number of structural shocks, so that the SVAR is dynamically singular. This is the Common Components Structural VAR (CC-SVAR). Our main contribution is that we prove consistency of our CC-SVAR estimates, which is far from trivial as our estimated SVAR tends to dynamic singularity. We apply our procedure to monetary policy shocks, finding that, with the CC-SVAR, results are robust to the choice of variables and well-known puzzles disappear
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| Unique citing works | 1 |
|---|---|
| Citations per year | 1 |
| Citation span | 2025 - 2025 (1) |
| Citation velocity | recent |
| Highly cited | No |
| Citation types | Neutral: 1 |