Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models

Cites Work

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Inference of time-varying regression models
Nonparametric regression for locally stationary time series
Impulse response analysis in nonlinear multivariate models
On the Kullback-Leibler information divergence of locally stationary processes
Time-varying model averaging
The uniform validity of impulse response inference in autoregressions
Cross validation for locally stationary processes
Inference on impulse response functions in structural VAR models
Statistical inference for time-varying ARCH processes
Inference on stochastic time-varying coefficient models
Nonlinear Time Series
Conditions for linear processes to be strong-mixing
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
Testing and Modeling Multivariate Threshold Models
Parameter Stability and Semiparametric Inference in Time Varying Auto-Regressive Conditional Heteroscedasticity Models
Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models
An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output
Understanding the Size of the Government Spending Multiplier: It’s in the Sign
Structural Vector Autoregressive Analysis
Bandwidth Selection in Nonparametric Kernel Testing
Time Varying Structural Vector Autoregressions and Monetary Policy
Local Projections and VARs Estimate the Same Impulse Responses

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