Combining sign and parametric restrictions in SVARs by Givens Rotations
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More about this item
Keywords
structural vector autoregressions; sign and parametric restrictions; Givens rotations; QR decomposition;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
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2018-07-09 (Econometrics)
- NEP-ETS-2018-07-09 (Econometric Time Series)
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