Blended identification in structural VARs
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DOI: 10.1016/j.jmoneco.2024.103581
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- Andrea Carriero & Massimiliano Marcellino & Tommaso Tornese, 2023. "Blended Identification in Structural VARs," BAFFI CAREFIN Working Papers 23200, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Carriero, Andrea & Marcellino, Massimiliano & Tornese, Tommaso, 2022. "Blended Identification in Structural VARs," CEPR Discussion Papers 17640, C.E.P.R. Discussion Papers.
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More about this item
Keywords
SVAR; Identification; Heteroskedasticity; Sign restrictions; Proxy variables;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- 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
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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