A multivariate, non-Bayesian, regression-based, or feasible generalized least squares (GLS)-based approach is proposed to estimate time-varying VAR parameter models. Although it has been known that the Kalman-smoothed estimate can be alternatively estimated using GLS for univariate models, we...

This paper investigates the impact of oil price innovations on job creation and job destruction in U.S. manufacturing. We estimate a simultaneous equation model that nests symmetric and asymmetric responses of job flows to oil price shocks. We first explore whether the responses of job creation...