In this paper we discuss general identification results for Structural Vector Autoregressions (SVARs) with external … ‘relevance' and ‘exogeneity' conditions. We discuss identification results and likelihood-based estimation methods both in the … ‘multiple shocks' approach, where all structural shocks are of interest, and in the ‘partial shock' approach, where only a …

In this paper we discuss general identification results for Structural Vector Autoregressions (SVARs) with external … "relevance" and "exogeneity" conditions. We discuss identification results and likelihood-based estimation methods both in the … "multiple shocks" approach, where all structural shocks are of interest, and in the "partial shock" approach, where only a …

This paper proposes a joint methodology for the identification and inference of structural vector autoregressive models …

When in proxy-SVARs the covariance matrix of VAR disturbances is subject to exogenous, permanent, nonrecurring breaks … (ii) the potential failure of instrument exogeneity. We introduce a novel identification strategy that appropriately …

We propose a new non-recursive identification scheme for uncertainty shocks, which exploits breaks in the unconditional … volatility of macroeconomic variables. Such identification approach allows us to simultaneously address two major questions in … the empirical literature on uncertainty: (i) Does the relationship between uncertainty and economic activity change across …

Motivated by the increasing use of external instruments to identify structural vector autoregressions (SVARs), we … develop algorithms for exact finite sample inference in this class of time series models, commonly known as proxy-SVARs. Our … structural parameterization of a proxy-SVAR. Importantly, our techniques can handle the case of set identification and hence they …

We propose a new non-recursive identification scheme for uncertainty shocks, which exploits breaks in the unconditional … volatility of macroeconomic variables. Such identification approach allows us to simultaneously address two major questions in … the empirical literature on uncertainty: (i) Does the relationship between uncertainty and economic activity change across …

We propose a new non-recursive identification scheme for uncertainty shocks, which exploits breaks in the unconditional … volatility of macroeconomic variables. Such identification approach allows us to simultaneously address two major questions in … the empirical literature on uncertainty: (i) Does the relationship between uncertainty and economic activity change across …