for the skill premium from the CPS and use it to identify skill-biased technology shocks in a VAR with long run …

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 …

for the skill premium from the CPS and use it to identify skill-biased technology shocks in a VAR with long run …

test for cointegrating relationships corresponding to the patterns predicted by theory. We confirm episodes of expansion of …

-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …

Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …

dependent data and allowing for first-step estimation of the propensity score. …