Inference Based on Time-Varying SVARs Identified with Sign Restrictions
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DOI: 10.21799/frbp.wp.2024.05
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- Jonas E. Arias & Juan F. Rubio-Ramirez & Minchul Shin & Daniel F. Waggoner, 2024. "Inference Based on Time-Varying SVARs Identified with Sign Restrictions," Working Papers 24-18, Federal Reserve Bank of Philadelphia.
- Arias, Jonas & Rubio-RamÃrez, Juan Francisco & Shin, Minchul & Waggoner, Daniel, 2024. "Inference Based on Time-Varying SVARs Identified with Sign Restrictions," CEPR Discussion Papers 18837, C.E.P.R. Discussion Papers.
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More about this item
Keywords
time-varying parameters; structural vector autoregressions; identification;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2024-03-25 (Econometrics)
- NEP-ETS-2024-03-25 (Econometric Time Series)
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