The Identification of Dynamic Structural Shocks

The identification and estimation of dynamic responses to structural shocks is one of the principal goals of macroeconometrics. These responses correspond to the effect, over time, of an exogenous intervention that propagates through the economy, as modeled by a system of simultaneous equations.

Over the last decades, several methodologies have been proposed so as to estimate these responses. The objective of this course, developed by Kenza Benhima and Jean-Paul Renne, is to provide an exhaustive view of these methodologies and to provide students with tools enabling them to implement them in various contexts.

Codes associated with this course are part of the IdSS package (Identification of Structural Shocks), which is available on GitHub. To load a package from GitHub, you need to use function install_github from the devtools package:

install.packages("devtools") # devtools allows to use "install_github"

Useful (R) links: