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Do we reject restrictions identifying fiscal shocks? : identification based on non-Gaussian innovations
Karamysheva, Madina; Skrobotov, Anton - In: Journal of economic dynamics & control 138 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013464743
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GMM estimation of non-Gaussian structural vector autoregression
Lanne, Markku; Luoto, Jani - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 69-81
Persistent link: https://www.econbiz.de/10012424500
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Methods for measuring expectations and uncertainty in Markov-switching models
Bianchi, Francesco - In: Journal of econometrics 190 (2016) 1, pp. 79-99
Persistent link: https://www.econbiz.de/10011591621
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Are there bubbles in stock prices? : testing for fundamental shocks
Velinov, Anton; Chen, Wenjuan - 2014
confirm the shock labeling for Japan. Through historical decompositions we observe that stock prices tended to be undervalued …
Persistent link: https://www.econbiz.de/10010349257
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Transmission effects of the U.S. and China monetary policy shocks on the world
Chiang, Shu-Mei; Liu, Hung-Chun; Huang, Chien-Ming; … - In: Applied economics 51 (2019) 46, pp. 5063-5075
Persistent link: https://www.econbiz.de/10012197184
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Christopher A. Sims and vector autoregressions
Christiano, Lawrence J. - In: The Scandinavian journal of economics 114 (2012) 4, pp. 1082-1104
Persistent link: https://www.econbiz.de/10009744352
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The time-varying effects of permanent and transistory shocks to real output
Keating, John William; Valcarcel, Victor J. - In: Macroeconomic dynamics 19 (2015) 3, pp. 477-507
Persistent link: https://www.econbiz.de/10011308634
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Essays on structural vector autoregressions identified through time-varying volatility
Schlaak, Thore - 2019
Persistent link: https://www.econbiz.de/10012173758
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The business cycle in Brazil : identification via heteroskedasticity
Giudici, Thiago Drummond de Mendonça; Lima, Elcyon … - In: International economics and economic policy 21 (2024) 3, pp. 649-684
Persistent link: https://www.econbiz.de/10015130223
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Avoiding unintentionally correlated shocks in proxy vector autoregressive analysis
Bruns, Martin; Lütkepohl, Helmut; McNeil, James - 2024 - This version: July 12, 2024
. This condition may easily be violated in proxy VAR models if more than one shock is identified by a proxy variable …
Persistent link: https://www.econbiz.de/10014633772