Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies
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DOI: 10.1016/j.jedc.2024.104837
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Cited by:
- Martin Bruns & Helmut Lütkepohl, 2024. "Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions," Discussion Papers of DIW Berlin 2103, DIW Berlin, German Institute for Economic Research.
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Keywords
Structural vector autoregression; Proxy VAR; Heteroskedasticity; Productivity shocks; Structural change;All these keywords.
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