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Identifying factor-augmented vector autoregression models via changes in shock variances
Yamamoto, Yohei; Hara, Naoko - In: Journal of applied econometrics 37 (2022) 4, pp. 722-745
Persistent link: https://www.econbiz.de/10013332683
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An automated prior robustness analysis in Bayesian model comparison
Chan, Joshua; Jacobi, Liana; Zhu, Dan - In: Journal of applied econometrics 37 (2022) 3, pp. 583-602
Persistent link: https://www.econbiz.de/10013186701
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A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains
Gospodinov, Nikolaj; Lkhagvasuren, Damba - In: Journal of applied econometrics 29 (2014) 5, pp. 843-859
Persistent link: https://www.econbiz.de/10010414842
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Monetary policy analysis and inflation targeting in a small open economy : a VAR approach
Jacobson, Tor (contributor) - In: Journal of applied econometrics 16 (2001) 4, pp. 487-520
Persistent link: https://www.econbiz.de/10001601904
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Revisiting the effects of conventional and unconventional monetary policies
Noh, Eul - In: Journal of applied econometrics 39 (2024) 5, pp. 943-951
Persistent link: https://www.econbiz.de/10015156793
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Exploring the international linkages of the euro area : a global VAR analysis
Dées, Stéphane; Di Mauro, Filippo; Pesaran, M. Hashem; … - In: Journal of applied econometrics 22 (2007) 1, pp. 1-38
Persistent link: https://www.econbiz.de/10003448504
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The transmission mechanism in a changing world
Artis, Michael J.; Galvão, Ana Beatriz C.; Marcellino, … - In: Journal of applied econometrics 22 (2007) 1, pp. 39-61
Persistent link: https://www.econbiz.de/10003448508
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Fast and order-invariant inference in Bayesian VARs with nonparametric shocks
Huber, Florian; Koop, Gary - In: Journal of applied econometrics 39 (2024) 7, pp. 1301-1320
Persistent link: https://www.econbiz.de/10015156859
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Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - In: Journal of applied econometrics 31 (2016) 6, pp. 929-960
Persistent link: https://www.econbiz.de/10011686163
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Marginalized predictive likelihood comparisons of linear gaussian state-space models with applications to DSGE, DSGE-VAR, and VAR models
Warne, Anders; Coenen, Günter; Christoffel, Kai - In: Journal of applied econometrics 32 (2017) 1, pp. 103-119
Persistent link: https://www.econbiz.de/10011688267