Identifying noise shocks

DOI10.1016/j.jedc.2019.103780OpenAlexW2916657399WikidataQ126835362 ScholiaQ126835362MaRDI QIDQ2291785

Joshua Chan, Eric Eisenstat, Gary Koop, Luca Benati

Publication date: 31 January 2020

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

Full work available at URL: https://boris.unibe.ch/145856/

zbMATH Keywords

structural VARsnews shocksnoise shocksVARMAs

Mathematics Subject Classification ID

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

Related Items (1)

Choosing between identification schemes in noisy-news models

Cites Work

• Large Bayesian VARMAs
• VAR analysis, nonfundamental representations, Blaschke matrices
• Do TFP and the relative price of investment share a common I(1) component?
• Hypothesis Testing with Restricted Spectral Density Matrices, with an Application to Uncovered Interest Parity
• Unnamed Item

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