Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR …) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used … in applications in this context. This study reviews the different volatility models and points out their advantages and …

line with theory, induce a negative nowcast error but raise economic activity in the short run. They account for up to 30 …

. We document two new facts using VAR methods. First, a (positive) shock to future TFP generates a significant decline in …, VAR methods also establish a tight link between TFP news shocks and shocks that explain the majority of un …

stress). Working with a VAR framework and a set-identification strategy which focuses on - but it is not limited to …

We identify total factor productivity (TFP) news shocks using standard VAR methodology and document a new stylized fact …