2023/07 LEM Working Paper Series

Identification of Vector Autoregressive Models with Nonlinear Contemporaneous Structure

Francesco Cordoni, Nicolas Doremus and Alessio Moneta
Structural VAR models; Causal Discovery; Nonlinearity; Additive Noise Models; Impulse response functions.

  JEL Classifications
C32, C52, E52
We propose a statistical identification procedure for structural vector autoregressive (VAR) models that present a nonlinear dependence (at least) at the contemporaneous level. By applying and adapting results from the literature on causal discovery with continuous additive noise models to structural VAR analysis, we show that a large class of structural VAR models is identifiable. We spell out these specific conditions and propose a scheme for the estimation of structural impulse response functions in a nonlinear setting. We assess the performance of this scheme in a simulation experiment. Finally, we apply it in a study on the effects of monetary policy on the economy.
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