Indirect inference testing can be carried out with a variety of auxiliary models. Asymptotically these different models make no difference. However, the small sample properties can differ. We explore small sample power and estimation bias both with different variable combinations and descriptive...

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...

This study's main purpose is to use Bayesian structural time-series models to investigate the causal effect of an earthquake on the Borsa Istanbul Stock Index. The results reveal a significant negative impact on stock market value during the post-treatment period. The results indicate rapid...

We propose a general protocol for calibration and validation of complex simulation models by an approach based on discovery and comparison of causal structures. The key idea is that configurations of parameters of a given theoretical model are selected by minimizing a distance index between two...