Research Discussion Paper – RDP 2022-04 The Unit-effect Normalisation in Set-identified Structural Vector Autoregressions


I thank Christiane Baumeister, Benjamin Beckers, Anthony Brassil, Thomas Cusbert, Thorsten Drautzburg, Luci Ellis, Renée Fry-McKibbin, James Hamilton, Jarkko Jääskelä, Adrian Pagan, Michele Piffer, John Simon and Benjamin Wong for useful discussions and feedback. I also thank conference participants at the Reserve Bank of Australia's 2022 Quantitative Macroeconomics Workshop, 8th Annual Conference of the International Association for Applied Econometrics, 2022 Australasia Meeting of the Econometric Society and 2022 Australian Conference of Economists, as well as seminar participants at the University of Western Australia and Monash University. The views expressed in this paper are my own and do not necessarily reflect the views of the Reserve Bank of Australia. I am solely responsible for any errors.