This paper considers a first-order autoregressive panel data model with individual-specific effects and a heterogeneous … autoregressive coefficient. It proposes estimators for the moments of the cross-sectional distribution of the autoregressive coefficients …, with a focus on the first two moments, assuming a random coefficient model for the autoregressive coefficients without imposing …

We estimate a three-variate VAR using proxies of global financial uncertainty, the global financial cycle, and world …

Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its … examine alternative oil market VAR models. We help the reader understand why the latter models sometimes generated … supply shocks that have been used as external or internal instruments for VAR models …

This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive … models (VAR) that allow for both structural change and indicators sampled at different frequencies. We extend the literature … by evaluating a mixed-frequency time-varying parameter VAR with stochastic volatility (MF-TVP-SV-VAR). Overall, the MF-TVP-SV-VAR …

We propose a novel identification strategy to measure monetary policy in a structural VAR. It is based exclusively on …

Recursively identified vector autoregressive (VAR) models often lead to a counterintuitive response of prices (and … output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the … restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization …

dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the … number of endogenous variables tends to infinity. It is shown that under such restrictions, an infinite-dimensional VAR (or … IVAR) can be arbitrarily well characterized by a large number of finite-dimensional models in the spirit of the global VAR …