Locally- but not globally-identified SVARs
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- Emanuele Bacchiocchi & Toru Kitagawa, 2022. "Locally- but not Globally-identified SVARs," Working Papers wp1171, Dipartimento Scienze Economiche, Universita' di Bologna.
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Cited by:
- Angelini, Giovanni & Cavaliere, Giuseppe & Fanelli, Luca, 2024.
"An identification and testing strategy for proxy-SVARs with weak proxies,"
Journal of Econometrics, Elsevier, vol. 238(2).
- Giovanni Angelini & Giuseppe Cavaliere & Luca Fanelli, 2022. "An identification and testing strategy for proxy-SVARs with weak proxies," Papers 2210.04523, arXiv.org, revised Oct 2023.
- Emanuele Bacchiocchi & Toru Kitagawa, 2021.
"A note on global identification in structural vector autoregressions,"
Papers
2102.04048, arXiv.org, revised Feb 2021.
- Emanuele Bacchiocchi & Toru Kitagawa, 2021. "A note on global identi?cation in structural vector autoregressions," CeMMAP working papers CWP03/21, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Drautzburg, Thorsten & Wright, Jonathan H., 2023.
"Refining set-identification in VARs through independence,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 1827-1847.
- Thorsten Drautzburg & Jonathan H. Wright, 2021. "Refining Set-Identification in VARs through Independence," NBER Working Papers 29316, National Bureau of Economic Research, Inc.
- Thorsten Drautzburg & Jonathan H. Wright, 2021. "Refining Set-Identification in VARs through Independence," Working Papers 21-31, Federal Reserve Bank of Philadelphia.
- Drautzburg, Thorsten & Wright, Jonathan H, 2021. "Refining Set-Identification in VARs through Independence," Economics Working Paper Archive 64575, The Johns Hopkins University,Department of Economics.
- Raffaella Giacomini & Toru Kitagawa & Matthew Read, 2021.
"Robust Bayesian Analysis for Econometrics,"
Working Paper Series
WP-2021-11, Federal Reserve Bank of Chicago.
- Giacomini, Raffaella & Kitagawa, Toru & Read, Matthew, 2021. "Robust Bayesian Analysis for Econometrics," CEPR Discussion Papers 16488, C.E.P.R. Discussion Papers.
- Bacchiocchi, Emanuele & Dragomirescu-Gaina, Catalin, 2024.
"Uncertainty spill-overs: When policy and financial realms overlap,"
Journal of International Money and Finance, Elsevier, vol. 143(C).
- Emanuele Bacchiocchi & Catalin Dragomirescu-Gaina, 2021. "Uncertainty spill-overs: when policy and financial realms overlap," Papers 2102.06404, arXiv.org.
- Emanuele Bacchiocchi & Catalin Dragomirescu-Gaina, 2022. "Uncertainty spill-overs: when policy and financial realms overlap," Working Papers wp1174, Dipartimento Scienze Economiche, Universita' di Bologna.
- Cordoni, Francesco & Dorémus, Nicolas & Moneta, Alessio, 2024.
"Identification of vector autoregressive models with nonlinear contemporaneous structure,"
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More about this item
JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2021-07-19 (Econometrics)
- NEP-ETS-2021-07-19 (Econometric Time Series)
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