Endogenous Time Variation in Vector Autoregressions
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DOI: 10.1162/rest_a_01038
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- Danilo Leiva-Leon & Luis Uzeda, 2021. "Endogenous time variation in vector autoregressions," Working Papers 2108, Banco de España.
- Danilo Leiva-Leon & Luis Uzeda, 2020. "Endogenous Time Variation in Vector Autoregressions," Staff Working Papers 20-16, Bank of Canada.
References listed on IDEAS
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- Xin Sheng & Rangan Gupta & Oguzhan Cepni, 2023. "Time-Varying Effects of Extreme Weather Shocks on Output Growth of the United States," Working Papers 202324, University of Pretoria, Department of Economics.
- Jamie L. Cross & Chenghan Hou & Gary Koop, 2021. "Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs," Working Papers No 04/2021, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
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JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
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