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Infinite-variance, alpha-stable shocks in monetary SVAR

Hannsgen, Greg - In: International review of applied economics 26 (2012) 6, pp. 755-786

Persistent link: https://www.econbiz.de/10009719299

Structural vector autoregressions with smooth transition in variances

Lütkepohl, Helmut; Netšunajev, Aleksei - In: Journal of economic dynamics & control 84 (2017), pp. 43-57

Persistent link: https://www.econbiz.de/10011916171

A time series model of interest rates with the effective lower bound

Johannsen, Benjamin K.; Mertens, Elmar - 2018

Persistent link: https://www.econbiz.de/10011867112

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

Lütkepohl, Helmut; Woźniak, Tomasz - 2017

parameters of structural vector autoregressive (SVAR) models. Economic theory is the primary source of such restrictions. However …

Persistent link: https://www.econbiz.de/10011771740

From the "Great Inflation" to the "Great Moderation" in Peru : a time varying structural vector autoregressions analysis

Castillo B., Paul; Montoya, Jimena; Quineche, Ricardo - 2016

Persistent link: https://www.econbiz.de/10011503984

Estimating time-varying DSGE models using minimum distance methods

Giraitis, Liudas; Kapetanios, George; Theodoridis, … - 2015

Following Giraitis, Kapetanios, and Yates (2014b), this paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the data set constructed by Smets and Wouters (2007). We apply an indirect inference method to map from this TV VAR to time...

Persistent link: https://www.econbiz.de/10011405253