Combining sign and parametric restrictions in SVARs by utilising givens rotations

DOI10.1515/snde-2018-0104OpenAlexW2982356881MaRDI QIDQ2697091

Lance A. Fisher, Hyeon-seung Huh

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-2018-0104

zbMATH Keywords

QR decompositionGivens rotationsstructural vector autoregressionssign and parametric restrictions

Mathematics Subject Classification ID

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

Cites Work

• A note on a method for generating points uniformly on n -dimensional spheres
• Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference
• Inference Based on Structural Vector Autoregressions Identified With Sign and Zero Restrictions: Theory and Applications
• Structural Vector Autoregressive Analysis

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