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Structural analysis with Multivariate Autoregressive Index models

Carriero, Andrea; Kapetanios, George; Marcellino, … - In: Journal of econometrics 192 (2016) 2, pp. 332-348

Persistent link: https://www.econbiz.de/10011704654

The econometric analysis of mixed frequency data sampling

Ghysels, Eric; Marcellino, Massimiliano - In: Journal of econometrics 193 (2016) 2, pp. 291-293

Persistent link: https://www.econbiz.de/10011704880

Monetary, fiscal and oil shocks : evidence based on mixed frequency structural FAVARs

Marcellino, Massimiliano; Sivec, Vasja - In: Journal of econometrics 193 (2016) 2, pp. 335-348

Persistent link: https://www.econbiz.de/10011704953

The econometric analysis of mixed frequency data sampling

Ghylsels, Eric (ed.); Marcellino, Massimiliano (ed.) - 2016

Persistent link: https://www.econbiz.de/10011704980

A multivariate test against spurious long memory

Sibbertsen, Philipp; Leschinski, Christian; Busch, Marie - In: Journal of econometrics 203 (2018) 1, pp. 33-49

Persistent link: https://www.econbiz.de/10011974604

Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...

Persistent link: https://www.econbiz.de/10011389735

Using time-varying volatility for identification in Vector Autoregressions : an application to endogenous uncertainty

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of econometrics 225 (2021) 1, pp. 47-73

Persistent link: https://www.econbiz.de/10013278994