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model. This model has a clear dynamic interpretation. Further, the method does not require iterative estimation techniques …
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In this paper we introduce a non-parametric estimation method for a large Vector Autoregression (VAR) with time …
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We develop non-parametric instrumental variable estimation and inferential theory for econometric models with possibly …
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series and estimation of time varying parameter processes by well-known rolling regression estimation techniques. We … point for further research on numerous open problems including establishing estimation results of time-varying parameters …
Persistent link: https://www.econbiz.de/10011405250
Following Giraitis, Kapetanios, and Yates (2014b), this paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the data set constructed by Smets and Wouters (2007). We apply an indirect inference method to map from this TV VAR to time...
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