SVARs with occasionally-binding constraints

DOI10.1016/J.JECONOM.2021.07.013OpenAlexW3137289603MaRDI QIDQ2106378

Sergio Villalvazo, S. Borağan Aruoba, Frank Schorfheide, Marko Mlikota

Publication date: 14 December 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.07.013

zbMATH Keywords

Bayesian inferencesequential Monte Carlo methodsstructural VARseffective lower boundlimited dependent variablesshadow rate

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Nowcasting the output gap with shadow rates

Cites Work

• Inference in hidden Markov models.
• Bayesian and Frequentist Inference in Partially Identified Models
• Identification at the Zero Lower Bound
• Estimation in a Class of Simultaneous Equation Limited Dependent Variable Models
• Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes
• Specification and Estimation of a Simultaneous-Equation Model with Limited Dependent Variables
• Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries
• SMC2: An Efficient Algorithm for Sequential Analysis of State Space Models
• Monte Carlo strategies in scientific computing

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