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How reliable are VAR estimates of responses to monetary policy shocks?
Kilian, Lutz; Chang, Pao-li - 1998
Persistent link: https://www.econbiz.de/10001410004
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Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2016
One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...
Persistent link: https://www.econbiz.de/10011418016
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The role of inventories and speculative trading in the global market for crude oil
Kilian, Lutz; Murphy, Daniel P. - In: Journal of applied econometrics 29 (2014) 3, pp. 454-478
Persistent link: https://www.econbiz.de/10010414884
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How to construct monthly VAR proxies based on daily futures market surprises
Kilian, Lutz - 2023
Persistent link: https://www.econbiz.de/10014382788
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The Role of the Prior in Estimating VAR Models with Sign Restrictions
Inoue, Atsushi; Kilian, Lutz - 2020
estimation methods are not required in typical applications. Finally, we demonstrate that the alternative Bayesian approach to …
Persistent link: https://www.econbiz.de/10014090346
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State-dependent local projections
Gonçalves, Sílvia; Herrera, Ana María; Kilian, Lutz; … - 2023
Persistent link: https://www.econbiz.de/10014311197
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Jointly estimating macroeconomic news and surprise shocks
Kilian, Lutz; Plante, Michael D.; Richter, Alexander W. - 2023
Persistent link: https://www.econbiz.de/10014311457
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Exchange rates and fundamentals : what do we learn from long-horizon regressions?
Kilian, Lutz (contributor) - 1997
Persistent link: https://www.econbiz.de/10000972191
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Exchange rates and monetary fundamentals : what do we learn from long-horizon regressions?
Kilian, Lutz - In: Journal of applied econometrics 14 (1999) 5, pp. 491-510
Persistent link: https://www.econbiz.de/10001421490
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Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - In: Journal of econometrics 196 (2017) 1, pp. 144-155
Persistent link: https://www.econbiz.de/10011743789