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News shocks : different effects in boom and recession?
Bolboaca, Maria; Fischer, Sarah - 2019 - This version: February, 2019
This paper investigates the nonlinearity in the effects of news shocks about technological innovations. In a maximally flexible logistic smooth transition vector autoregressive model, state-dependent effects of news shocks are identified based on medium-run restrictions. We propose a novel...
Persistent link: https://www.econbiz.de/10011967392
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Statistical identification in SVARs - Monte Carlo experiments and a comparative assessment of the role of economic uncertainties for the US business cycle
Herwartz, Helmut; Lange, Alexander; Maxand, Simone - 2019
sign restrictions results in estimation biases as a reflection of censored sampling from a space of covariance …
Persistent link: https://www.econbiz.de/10012027359
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Measures of the output gap in the Euro-zone : an empirical assessment of selected methods
Chagny, Odile; Döpke, Jörg - 2001
Der Aufsatz untersucht einige populäre Methoden zur Messung des Output Gaps auf der Basis von aggregierten Daten für die Euro-Zone. Obwohl die Methoden einige wichtige gemeinsame Eigenschaften aufweisen, zeigen sie auch erhebliche Unterschiede; insbesondere ist die Korrelation zwischen...
Persistent link: https://www.econbiz.de/10011473858
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Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2016
One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response … matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …
Persistent link: https://www.econbiz.de/10011418016
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Time-varying local projections
Ruisi, Germano - 2019
In recent years local projections have become a more and more popular methodology for the estimation of impulse … responses. Besides being relatively easy to implement, the main strength of this approach relative to the traditional VAR one is …
Persistent link: https://www.econbiz.de/10012040644
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Forecasting and stress testing with quantile vector autoregression
Chavleishvili, Sulkhan; Manganelli, Simone - 2019
We introduce a structural quantile vector autoregressive (VAR) model. Unlike standard VAR which models only the average … interaction of the endogenous variables, quantile VAR models their interaction at any quantile. We show how to estimate and …
Persistent link: https://www.econbiz.de/10012122051
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Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model
Hartwig, Benny - 2020
This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed whenthe ratio of volatilities is time-varying....
Persistent link: https://www.econbiz.de/10012250452
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Estimating hysteresis effects
Furlanetto, Francesco; Robstad, Ørjan; Ulvedal, Pål; … - 2020
are disproportionately hit by the shock and exit the labor force. …
Persistent link: https://www.econbiz.de/10012417528
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Identification and inference with ranking restrictions
Amir Ahmadi, Pooyan; Drautzburg, Thorsten - In: Quantitative economics : QE ; journal of the … 12 (2021) 1, pp. 1-39
We propose to add ranking restrictions on impulse-responses to sign restrictions to narrow the identified set in vector autoregressions (VARs). Ranking restrictions come from micro data on heterogeneous industries in VARs, bounds on elasticities, or restrictions on dynamics. Using both a fully...
Persistent link: https://www.econbiz.de/10012432770
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Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation
Callot, Laurent; Kristensen, Johannes Tang - 2015
estimation of static factor models and factor augmented autoregressions using a set of 190 quarterly observations of 144 US …
Persistent link: https://www.econbiz.de/10010532582