Identifying Shocks via Time-Varying Volatility

DOI10.1093/restud/rdab009zbMath1481.91120OpenAlexW3122061215MaRDI QIDQ5022719

Daniel Lewis

Publication date: 19 January 2022

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/210723

zbMATH Keywords

identificationheteroskedasticityfiscal multiplierstructural shockstime-varying volatilitySVARtax shocks

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (5)

Do we reject restrictions identifying fiscal shocks? Identification based on non-Gaussian innovations ⋮ Vector autoregression models with skewness and heavy tails ⋮ Refining set-identification in VARs through independence ⋮ Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks ⋮ Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty

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