A note on the Cogley–Nason–Sims approach
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DOI: 10.1016/j.econlet.2016.06.036
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Cited by:
- Giuliano Curatola & Michael Donadelli & Patrick Gruning & Christoph Meinerding, 2016.
"Investment-Specific Shocks, Business Cycles, and Asset Prices,"
Bank of Lithuania Working Paper Series
36, Bank of Lithuania.
- Curatola, Giuliano & Donadelli, Michael & Grüning, Patrick & Meinerding, Christoph, 2016. "Investment-specific shocks, business cycles, and asset prices," SAFE Working Paper Series 129, Leibniz Institute for Financial Research SAFE.
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Keywords
Cogley–Nason–Sims approach; Small sample properties; Structural Vector Auto-Regression; Identification; Monte-Carlo simulation;All these keywords.
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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