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Identifying shocks via time-varying volatility

Lewis, Daniel J. - 2018

process. I propose a new identification argument that identifies the SVAR up to shock orderings using the autocovariance … select among shock orderings; this selection does not impact inference asymptotically. The identification scheme performs …

Persistent link: https://www.econbiz.de/10011926201

The dynamic effects of shocks to wages and prices in the United States and the euro area

Duarte, Rita; Marques, Carlos Robalo - 2009

This paper investigates the dynamics of aggregate wages and prices in the United States (US) and the Euro Area (EA) with a special focus on persistence of real wages, wage and price inflation. The analysis is conducted within a structural vector error-correction model, where the structural...

Persistent link: https://www.econbiz.de/10011605113

An introduction into the SVAR methodology : identification, interpretation and limitations of SVAR models

Gottschalk, Jan - 2001 - Preliminary, this version: August 2001

approach to identification in SVAR models, which is compared to identification in simultaneous equation models. It is shown …

Persistent link: https://www.econbiz.de/10011476358

An Introduction into the SVAR Methodology: Identification, Interpretation and Limitations of SVAR models

Gottschalk, Jan - 2001

approach to identification in SVAR models, which is compared to identification in simultaneous equation models. It is shown …

Persistent link: https://www.econbiz.de/10010260607

Uncertainty across volatility regimes

Angelini, Giovanni; Bacchiocchi, Emanuele; Caggiano, … - 2017

We propose a new non-recursive identification scheme for uncertainty shocks, which exploits breaks in the unconditional … volatility of macroeconomic variables. Such identification approach allows us to simultaneously address two major questions in …

Persistent link: https://www.econbiz.de/10011778668

Allowing the Data to Speak Freely : The Macroeconometrics of the Cointegrated Vector Autoregression

Hoover, Kevin D. - 2008

An explication of the key ideas behind the Cointegrated Vector Autoregression Approach. The CVAR approach is related to Haavelmo's famous quot;Probability Approach in Econometricsquot; (1944). It insists on careful stochastic specification as a necessary groundwork for econometric inference and...

Persistent link: https://www.econbiz.de/10012726093