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Estimating impulse response functions when the shock series is observed

Choi, Chi-young; Chudik, Alexander - In: Economics letters 180 (2019), pp. 71-75

Persistent link: https://www.econbiz.de/10012121767

Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH

Lütkepohl, Helmut; Schlaak, Thore - In: Journal of economic dynamics & control 101 (2019), pp. 41-61

Persistent link: https://www.econbiz.de/10012131020

Identification and estimation in non-fundamental structural VARMA models

Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - 2017

Persistent link: https://www.econbiz.de/10012197831

Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH

Lütkepohl, Helmut; Schlaak, Thore - 2018 - Revised version: January 29, 2019

Different bootstrap methods and estimation techniques for inference for structural vector autoregressive (SVAR) models …. Estimation is done by Gaussian maximum likelihood, a simplified procedure based on univariate GARCH estimations and a method that …

Persistent link: https://www.econbiz.de/10012041300

Some consequences of using "measurement error shocks" when estimating time series models

Pagan, Adrian R. - 2017

Persistent link: https://www.econbiz.de/10011748330

Nonparanormal structural VAR for non-Gaussian data

Dallakyan, Aramayis - In: Computational economics 57 (2021) 4, pp. 1093-1113

Persistent link: https://www.econbiz.de/10012543263

Bayesian inference on structural impulse response functions

Plagborg‐Møller, Mikkel - In: Quantitative economics : QE ; journal of the … 10 (2019) 1, pp. 145-184

I propose to estimate structural impulse responses from macroeconomic time series by doing Bayesian inference on the Structural Vector Moving Average representation of the data. This approach has two advantages over Structural Vector Autoregressions. First, it imposes prior information directly...

Persistent link: https://www.econbiz.de/10011994839

Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified Through GARCH

Lütkepohl, Helmut - 2018

Different bootstrap methods and estimation techniques for inference for structural vector autoregressive (SVAR) models …, a moving blocks bootstrap and a GARCH residual based bootstrap. Estimation is done by Gaussian maximum likelihood, a …

Persistent link: https://www.econbiz.de/10012913245

The vector error correction index model : representation, estimation and identification

Cubadda, Gianluca; Mazzali, Marco - 2023

Persistent link: https://www.econbiz.de/10014248988

Identification of vector autoregressive models with nonlinear contemporaneous structure

Cordoni, Francesco; Doremus, Nicolas; Moneta, Alessio - 2024

is identifiable. We spell out these specific conditions and propose a scheme for the estimation of structural impulse …

Persistent link: https://www.econbiz.de/10013548855