Understanding the effect of technology shocks in SVARs with long-run restrictions

DOI10.1016/j.jedc.2014.01.012zbMath1402.91581OpenAlexW1506500809MaRDI QIDQ1994424

Patrick Fève, Alain Guay, Jeremy Chaudourne

Publication date: 1 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://idei.fr/sites/default/files/medias/doc/wp/2012/wp_idei_738.pdf

zbMATH Keywords

technology shockshours workedSVARslong-run restrictionslocally nonstationary process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (1)

ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS

Cites Work

• Unnamed Item
• A method for taking models to the data
• Prediction of multivariate time series by autoregressive model fitting
• Asymptotic inference for nearly nonstationary AR(1) processes
• Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions
• Towards a unified asymptotic theory for autoregression
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties

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