Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information
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Publication:4614310
DOI10.3982/ECTA12356zbMath1410.62196OpenAlexW2141894387MaRDI QIDQ4614310
Christiane Baumeister, James D. Hamilton
Publication date: 30 January 2019
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta12356
Bayesian inferencevector autoregressionssign restrictionsset identificationlong-run restrictionsinformative priors
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Bayesian inference (62F15)
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