Journal articles on the topic 'Nonlinear Structural Vector AutoRegressions'
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Harris, Glen R. "Markov Chain Monte Carlo Estimation of Regime Switching Vector Autoregressions." ASTIN Bulletin 29, no. 1 (May 1999): 47–79. http://dx.doi.org/10.2143/ast.29.1.504606.
Full textIWATA, SHIGERU, and SHU WU. "MACROECONOMIC SHOCKS AND THE FOREIGN EXCHANGE RISK PREMIA." Macroeconomic Dynamics 10, no. 4 (August 23, 2006): 439–66. http://dx.doi.org/10.1017/s136510050606007x.
Full textKumar, Nikeel, Ronald Ravinesh Kumar, Radika Kumar, and Peter Josef Stauvermann. "Is the tourism–growth relationship asymmetric in the Cook Islands? Evidence from NARDL cointegration and causality tests." Tourism Economics 26, no. 4 (July 2, 2019): 658–81. http://dx.doi.org/10.1177/1354816619859712.
Full textStock, James H., and Mark W. Watson. "Vector Autoregressions." Journal of Economic Perspectives 15, no. 4 (November 1, 2001): 101–15. http://dx.doi.org/10.1257/jep.15.4.101.
Full textIwata, Shigeru, and Shu Wu. "A NOTE ON FOREIGN EXCHANGE INTERVENTIONS AT ZERO INTEREST RATES." Macroeconomic Dynamics 16, no. 5 (September 7, 2012): 802–17. http://dx.doi.org/10.1017/s1365100512000120.
Full textBranch, William A., Troy Davig, and Bruce McGough. "ADAPTIVE LEARNING IN REGIME-SWITCHING MODELS." Macroeconomic Dynamics 17, no. 5 (March 6, 2012): 998–1022. http://dx.doi.org/10.1017/s1365100511000800.
Full textLanne, Markku, and Helmut Lütkepohl. "Structural Vector Autoregressions With Nonnormal Residuals." Journal of Business & Economic Statistics 28, no. 1 (January 2010): 159–68. http://dx.doi.org/10.1198/jbes.2009.06003.
Full textZha, Tao. "Block recursion and structural vector autoregressions." Journal of Econometrics 90, no. 2 (June 1999): 291–316. http://dx.doi.org/10.1016/s0304-4076(98)00045-1.
Full textLanne, Markku, Helmut Lütkepohl, and Katarzyna Maciejowska. "Structural vector autoregressions with Markov switching." Journal of Economic Dynamics and Control 34, no. 2 (February 2010): 121–31. http://dx.doi.org/10.1016/j.jedc.2009.08.002.
Full textBaumeister, Christiane, and James D. Hamilton. "Structural Vector Autoregressions with Imperfect Identifying Information." AEA Papers and Proceedings 112 (May 1, 2022): 466–70. http://dx.doi.org/10.1257/pandp.20221044.
Full textWaggoner, Daniel F., and Tao Zha. "A Gibbs sampler for structural vector autoregressions." Journal of Economic Dynamics and Control 28, no. 2 (November 2003): 349–66. http://dx.doi.org/10.1016/s0165-1889(02)00168-9.
Full textBreitung, Jörg. "A convenient representation for structural vector autoregressions." Empirical Economics 26, no. 2 (May 23, 2001): 447–59. http://dx.doi.org/10.1007/s001810000065.
Full textGhanem, Dalia, and Aaron Smith. "Causality in structural vector autoregressions: Science or sorcery?" American Journal of Agricultural Economics 104, no. 3 (October 26, 2021): 881–904. http://dx.doi.org/10.1111/ajae.12269.
Full textPrimiceri, Giorgio E. "Time Varying Structural Vector Autoregressions and Monetary Policy." Review of Economic Studies 72, no. 3 (July 2005): 821–52. http://dx.doi.org/10.1111/j.1467-937x.2005.00353.x.
Full textLütkepohl, Helmut, and Aleksei Netšunajev. "Structural vector autoregressions with smooth transition in variances." Journal of Economic Dynamics and Control 84 (November 2017): 43–57. http://dx.doi.org/10.1016/j.jedc.2017.09.001.
Full textIstiak, Khandokar, and Md Rafayet Alam. "US economic policy uncertainty spillover on the stock markets of the GCC countries." Journal of Economic Studies 47, no. 1 (February 21, 2020): 36–50. http://dx.doi.org/10.1108/jes-11-2018-0388.
Full textSmith, A. A. "Estimating nonlinear time-series models using simulated vector autoregressions." Journal of Applied Econometrics 8, S1 (December 1993): S63—S84. http://dx.doi.org/10.1002/jae.3950080506.
Full textBaumeister, Christiane, and James D. Hamilton. "Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information." Econometrica 83, no. 5 (2015): 1963–99. http://dx.doi.org/10.3982/ecta12356.
Full textFry, Renée, and Adrian Pagan. "Sign Restrictions in Structural Vector Autoregressions: A Critical Review." Journal of Economic Literature 49, no. 4 (December 1, 2011): 938–60. http://dx.doi.org/10.1257/jel.49.4.938.
Full textCanova, Fabio, and Fernando J. Pérez Forero. "Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions." Quantitative Economics 6, no. 2 (July 2015): 359–84. http://dx.doi.org/10.3982/qe305.
Full textLanne, Markku, Mika Meitz, and Pentti Saikkonen. "Identification and estimation of non-Gaussian structural vector autoregressions." Journal of Econometrics 196, no. 2 (February 2017): 288–304. http://dx.doi.org/10.1016/j.jeconom.2016.06.002.
Full textRUBIO-RAMÍREZ, JUAN F., DANIEL F. WAGGONER, and TAO ZHA. "Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference." Review of Economic Studies 77, no. 2 (April 2010): 665–96. http://dx.doi.org/10.1111/j.1467-937x.2009.00578.x.
Full textLütkepohl, Helmut, and Anton Velinov. "STRUCTURAL VECTOR AUTOREGRESSIONS: CHECKING IDENTIFYING LONG-RUN RESTRICTIONS VIA HETEROSKEDASTICITY." Journal of Economic Surveys 30, no. 2 (December 5, 2014): 377–92. http://dx.doi.org/10.1111/joes.12100.
Full textDel Negro, Marco, and Giorgio E. Primiceri. "Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum." Review of Economic Studies 82, no. 4 (June 26, 2015): 1342–45. http://dx.doi.org/10.1093/restud/rdv024.
Full textKrolzig, Hans-Martin. "General-to-Specific Model Selection Procedures for Structural Vector Autoregressions*." Oxford Bulletin of Economics and Statistics 65, s1 (December 2003): 769–801. http://dx.doi.org/10.1046/j.0305-9049.2003.00088.x.
Full textChevillon, Guillaume, Sophocles Mavroeidis, and Zhaoguo Zhan. "ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS." Econometric Theory 36, no. 1 (March 5, 2019): 86–121. http://dx.doi.org/10.1017/s0266466619000045.
Full textNeusser, Klaus. "A topological view on the identification of structural vector autoregressions." Economics Letters 144 (July 2016): 107–11. http://dx.doi.org/10.1016/j.econlet.2016.05.003.
Full textLütkepohl, Helmut, and Tomasz Woźniak. "Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity." Journal of Economic Dynamics and Control 113 (April 2020): 103862. http://dx.doi.org/10.1016/j.jedc.2020.103862.
Full textReale, M. "The sampling properties of conditional independence graphs for structural vector autoregressions." Biometrika 89, no. 2 (June 1, 2002): 457–61. http://dx.doi.org/10.1093/biomet/89.2.457.
Full textLütkepohl, Helmut, and Aleksei Netšunajev. "Structural vector autoregressions with heteroskedasticity: A review of different volatility models." Econometrics and Statistics 1 (January 2017): 2–18. http://dx.doi.org/10.1016/j.ecosta.2016.05.001.
Full textEscanciano, Juan Carlos, Ignacio N. Lobato, and Lin Zhu. "Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models." Journal of Business & Economic Statistics 31, no. 4 (October 2013): 426–37. http://dx.doi.org/10.1080/07350015.2013.803973.
Full textBruns, Stephan B., Alessio Moneta, and David I. Stern. "Estimating the economy-wide rebound effect using empirically identified structural vector autoregressions." Energy Economics 97 (May 2021): 105158. http://dx.doi.org/10.1016/j.eneco.2021.105158.
Full textAngelini, Giovanni, and Luca Fanelli. "Exogenous uncertainty and the identification of structural vector autoregressions with external instruments." Journal of Applied Econometrics 34, no. 6 (September 2019): 951–71. http://dx.doi.org/10.1002/jae.2736.
Full textKaramé, F. "Impulse–response functions in Markov-switching structural vector autoregressions: A step further." Economics Letters 106, no. 3 (March 2010): 162–65. http://dx.doi.org/10.1016/j.econlet.2009.11.009.
Full textBaumeister, Christiane, and James D. Hamilton. "Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions." Journal of International Money and Finance 109 (December 2020): 102250. http://dx.doi.org/10.1016/j.jimonfin.2020.102250.
Full textHerwartz, Helmut, and Helmut Lütkepohl. "Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks." Journal of Econometrics 183, no. 1 (November 2014): 104–16. http://dx.doi.org/10.1016/j.jeconom.2014.06.012.
Full textBaumeister, Christiane, and James D. Hamilton. "Reprint: Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions." Journal of International Money and Finance 114 (June 2021): 102405. http://dx.doi.org/10.1016/j.jimonfin.2021.102405.
Full textBazinas, Vassilios, and Bent Nielsen. "Causal Transmission in Reduced-Form Models." Econometrics 10, no. 2 (March 24, 2022): 14. http://dx.doi.org/10.3390/econometrics10020014.
Full textArias, Jonas E., Juan F. Rubio-Ram\’;irez, and Daniel F. Waggoner. "Inference Based on Structural Vector Autoregressions Identified With Sign and Zero Restrictions: Theory and Applications." Econometrica 86, no. 2 (2018): 685–720. http://dx.doi.org/10.3982/ecta14468.
Full textJang, Woon Wook. "Risk aversion, uncertainty, and monetary policy: Structural vector autoregressions identified with high-frequency external instruments." Economics Letters 186 (January 2020): 108675. http://dx.doi.org/10.1016/j.econlet.2019.108675.
Full textWolf, Christian K. "What Can We Learn from Sign-Restricted VARs?" AEA Papers and Proceedings 112 (May 1, 2022): 471–75. http://dx.doi.org/10.1257/pandp.20221045.
Full textAntolín-Díaz, Juan, and Juan F. Rubio-Ramírez. "Narrative Sign Restrictions for SVARs." American Economic Review 108, no. 10 (October 1, 2018): 2802–29. http://dx.doi.org/10.1257/aer.20161852.
Full textBaumeister, Christiane, and James D. Hamilton. "Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks." American Economic Review 109, no. 5 (May 1, 2019): 1873–910. http://dx.doi.org/10.1257/aer.20151569.
Full textPlagborg-Møller, Mikkel, and Christian K. Wolf. "Local Projections and VARs Estimate the Same Impulse Responses." Econometrica 89, no. 2 (2021): 955–80. http://dx.doi.org/10.3982/ecta17813.
Full textMittnik, Stefan, and Willi Semmler. "OVERLEVERAGING, FINANCIAL FRAGILITY, AND THE BANKING–MACRO LINK: THEORY AND EMPIRICAL EVIDENCE." Macroeconomic Dynamics 22, no. 1 (November 20, 2017): 4–32. http://dx.doi.org/10.1017/s1365100516000080.
Full textKwizera, Mr Placide Aime. "SMOOTH TRANSITION STRUCTURAL VECTOR AUTOREGRESSIONS: APPLICATION TO THE RELATION BETWEEN INFLATION AND OUTPUT GROWTH IN RWANDA." International Journal of Business Management and Economic Review 03, no. 01 (2020): 219–34. http://dx.doi.org/10.35409/ijbmer.2020.3152.
Full textHachula, Michael, Michele Piffer, and Malte Rieth. "Unconventional Monetary Policy, Fiscal Side Effects, and Euro Area (Im)balances." Journal of the European Economic Association 18, no. 1 (January 7, 2019): 202–31. http://dx.doi.org/10.1093/jeea/jvy052.
Full textMalakhovskaya, O. "DSGE-based forecasting: What should our perspective be?" Voprosy Ekonomiki, no. 12 (December 20, 2016): 129–46. http://dx.doi.org/10.32609/0042-8736-2016-12-129-146.
Full textZervas, Andreas. "Tax Elasticities and the Macroeconomic Effects of Fiscal Policy in Greece." Special Issue on Applied Macroeconomics, Finance, and Banking 64, no. 1 (January 1, 2018): 59–98. http://dx.doi.org/10.3790/aeq.64.1.59.
Full textSedláček, Petr. "Creative Destruction and Uncertainty." Journal of the European Economic Association 18, no. 4 (August 13, 2019): 1814–43. http://dx.doi.org/10.1093/jeea/jvz047.
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