Trimmed Whittle estimation of the SVAR vs. filtering low-frequency fluctuations: applications to technology shocks

DOI10.1515/snde-2018-0030OpenAlexW2911265887MaRDI QIDQ2697067

Yuliya Lovcha, Alejandro Perez-Laborda

Publication date: 17 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2018-0030

zbMATH Keywords

frequency domainbusiness cycleimpulse responseband-passHodrick-Prescott, hours-worked

Mathematics Subject Classification ID

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

Cites Work

• Small sample effects in time series analysis: A new asymptotic theory and a new estimate
• Low frequency filtering and real business cycles
• Seasonally and approximation errors in rational expectations models
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
• Estimation of the long-memory stochastic volatility model parameters that is robust to level shifts and deterministic trends
• Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions
• REDUCTION OF THE ASYMPTOTIC BIAS OF AUTOREGRESSIVE AND SPECTRAL ESTIMATORS BY TAPERING
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• Identification and frequency domain quasi-maximum likelihood estimation of linearized dynamic stochastic general equilibrium models
• Band Spectrum Regression
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix

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