A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks
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Citations
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Cited by:
- Helmut Lütkepohl & Anton Velinov, 2016.
"Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions Via Heteroskedasticity,"
Journal of Economic Surveys, Wiley Blackwell, vol. 30(2), pages 377-392, April.
- Lütkepohl, Helmut & Velinov, Anton, 2016. "Structural Vector Autoregressions : Checking Identifying Long-Run Restrictions via Heteroskedasticity," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 30, pages 377-392.
- Helmut Lütkepohl & Anton Velinov, 2014. "Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity," CESifo Working Paper Series 4651, CESifo.
- Lütkepohl, Helmut & Velinov, Anton, 2014. "Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity," SFB 649 Discussion Papers 2014-009, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Helmut Lütkepohl & Anton Velinov, 2014. "Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity," Discussion Papers of DIW Berlin 1356, DIW Berlin, German Institute for Economic Research.
- Greg Hannsgen, 2012.
"Infinite-variance, alpha-stable shocks in monetary SVAR,"
International Review of Applied Economics, Taylor & Francis Journals, vol. 26(6), pages 755-786, April.
- Greg Hannsgen, 2010. "Infinite-variance, Alpha-stable Shocks in Monetary SVAR," Economics Working Paper Archive wp_596, Levy Economics Institute.
- Baldi, Guido & Lange, Alexander, 2019. "The Interest Rate Sensitivity of Investment," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 52(2), pages 173-190.
- repec:hum:wpaper:sfb649dp2014-009 is not listed on IDEAS
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More about this item
Keywords
Mixed normal distribution; structural vector autoregressive model; vector autoregressive process;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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2008-06-13 (Central Banking)
- NEP-ECM-2008-06-13 (Econometrics)
- NEP-MAC-2008-06-13 (Macroeconomics)
- NEP-MON-2008-06-13 (Monetary Economics)
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