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مروری بر مشکل شوک های غیربنیادی در تحلیل های SVAR
ناصر خیابانی*1 ، شلاله صحافی2
1- دانشیار دانشکده اقتصاد دانشگاه علامه طباطبایی ، naser.khiabani@atu.ac.ir
2- دانشجوی دکتری مؤسسه عالی آموزش و پژوهش مدیریت و برنامه ریزی
چکیده:   (946 مشاهده)
تحلیل های کلاسیک SVAR، تصریحاً یا تلویحاً، بر این فرض استوارند که شوک های ساختاری، به فضای برداری  ایجاد شده توسط تعداد محدودی از متغیرهای قابل مشاهده تعلق داشته و با تحلیل داده های تاریخی این متغیرها قابل شناسایی اند. چنانچه این فرض نقض شود، اطلاعات حاصل از تحلیل های مذکور بقدری نخواهد بود که بتوان آن را مبنای سنجش اعتبار مدل های تئوریک و یا تحلیل های ساختاری دانست؛ این مشکل، به مشکل شوکهای غیربنیادی معروف است. در مطالعه حاضر، با مرور ادبیات مربوطه، به جوهر اصلی مشکل شوک های غیربنیادی، علل بروز آن، و شیوه های رفع آن، خواهیم پرداخت.
واژه‌های کلیدی: شوک های غیربنیادی، نقص اطلاعات، شوک های خبری، نویز، SVAR
     
پژوهشی: مروری | موضوع مقاله: اقتصادسنجی
دریافت: 1403/12/11 | پذیرش: 1404/9/17
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