ICPSR Logo

This study is provided by ICPSR. ICPSR provides leadership and training in data access, curation, and methods of analysis for a diverse and expanding social science research community.

The Efficient Market Hypothesis and Identification in Structural VARs (ICPSR 1295) RSS

Principal Investigator(s):

Summary:

Structural vector autoregression (SVAR) models are commonly used to investigate the effect of structural shocks on economic variables. The identifying restrictions imposed in many of these exercises have been criticized in the literature. This paper extends this literature by showing that, if the SVAR includes one or more variables that are efficient in the strong form of the efficient market hypothesis, the identifying restrictions frequently imposed in SVARs cannot be satisfied. The authors argue that this analysis will likely apply to VARs that include variables that are consistent with weaker forms of the efficient market hypothesis, especially when the data are measured at the monthly or quarterly frequencies, as is frequently the case.

Access Notes

  • These data are flagged as replication datasets and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

  • These data are freely available.

Dataset(s)

Dataset - Download All Files (0 MB)
Data:

Study Description

Citation

Sarno, Lucio, and Daniel L. Thornton. The Efficient Market Hypothesis and Identification in Structural VARs. ICPSR01295-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2004-06-04. http://doi.org/10.3886/ICPSR01295.v1

Persistent URL:

Export Citation:

  • RIS (generic format for RefWorks, EndNote, etc.)
  • EndNote XML (EndNote X4.0.1 or higher)

Scope of Study

Subject Terms:   economics

Data Collection Notes:

The file submitted is the data file 0401dtd.txt. These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

Methodology

Version(s)

Original ICPSR Release:  

Related Publications

Utilities

Metadata Exports

If you're looking for collection-level metadata rather than an individual metadata record, please visit our Metadata Records page.

Download Statistics

Found a problem? Use our Report Problem form to let us know.