ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS

DOI10.1017/S0266466619000045zbMath1436.62416WikidataQ128284435 ScholiaQ128284435MaRDI QIDQ5218426

Guillaume Chevillon, Sophocles Mavroeidis, Zhaoguo Zhan

Publication date: 3 March 2020

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

unit rootsrobust inferencevector autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Economic growth models (91B62) Statistical methods; economic indices and measures (91B82) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

Structural VAR models in the frequency domain ⋮ Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves

Cites Work

• Applications of subsampling, hybrid, and size-correction methods
• Nonlinear instrumental variable estimation of an autoregression.
• Bayesian and classical approaches to instrumental variable regression
• Some analytics on bias in DSVARs
• Understanding the effect of technology shocks in SVARs with long-run restrictions
• Bonferroni-based size-correction for nonstandard testing problems
• Econometric analysis of structural systems with permanent and transitory shocks
• One-Dimensional Inference in Autoregressive Models With the Potential Presence of a Unit Root
• Estimation and Inference With Weak, Semi-Strong, and Strong Identification
• Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models
• Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions
• DO TECHNOLOGY SHOCKS DRIVE HOURS UP OR DOWN? A LITTLE EVIDENCE FROM AN AGNOSTIC PROCEDURE
• Instrumental Variables Regression with Weak Instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• On Confidence Intervals for Autoregressive Roots and Predictive Regression
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Tests of Statistical Hypotheses Concerning Several Parameters When the Number of Observations is Large

This page was built for publication: ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS