We derive a framework for asymptotically valid inference in stable vector autoregressive (VAR) models with conditional … heteroskedasticity of unknown form. We prove a joint central limit theorem for the VAR slope parameter and innovation covariance … parameter estimators and address bootstrap inference as well. Our results are important for correct inference on VAR statistics …

, previous empirical works dealing with vector auto-regression (VAR) have not considered the effect of debt on fiscal policy and … the macro economy. In this paper, we incorporate debt dynamics in a VAR model in the spirit of Favero and Giavazzi (2007 …, 2011). The inclusion of the debt feedback rule in VAR can help overcome the misspecification problem and provide direction …

(2003). Traditional approaches, such as vector auto regressive (VAR) models have not yielded satisfactory results because of … augmenting VAR model with factors summarizing the information of a vast data set that is used by central banks in monetary policy …