Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions

DOI10.1198/jbes.2009.08116zbMath1198.62093OpenAlexW1981012467MaRDI QIDQ3160928

Nikolay Gospodinov

Publication date: 11 October 2010

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/jbes.2009.08116

zbMATH Keywords

persistencelocal-to-unity asymptoticsimpulse response analysislong-run restrictionsstructural vector autoregressive models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Trimmed Whittle estimation of the SVAR vs. filtering low-frequency fluctuations: applications to technology shocks ⋮ Understanding the effect of technology shocks in SVARs with long-run restrictions ⋮ ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS ⋮ Estimation of structural impulse responses: short-run versus long-run identifying restrictions

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