Advances in using vector autoregressions to estimate structural magnitudes
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Publication:6536813
DOI10.1017/S026646662200055XMaRDI QIDQ6536813
James D. Hamilton, Christiane Baumeister
Publication date: 14 May 2024
Published in: Econometric Theory (Search for Journal in Brave)
Cites Work
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- The time varying effect of oil price shocks on Euro-area exports
- Delta-method inference for a class of set-identified SVARs
- Jeffreys prior analysis of the simultaneous equations model in the case with \(n+1\) endogenous variables.
- Bayesian and classical approaches to instrumental variable regression
- Joint Bayesian inference about impulse responses in VAR models
- SVARs with occasionally-binding constraints
- Inference in Bayesian proxy-SVARs
- Bayesian and frequentist inference in partially identified models
- What Are the Limits of Posterior Distributions Arising From Nonidentified Models, and Why Should We Care?
- Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference
- A Distributed Lag Estimator Derived from Smoothness Priors
- Error Bands for Impulse Responses
- Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information
- High-Frequency Identification of Monetary Non-Neutrality: The Information Effect*
- Robust Bayesian Inference for Set‐Identified Models
- Uncertain identification
- Identification and inference with ranking restrictions
- The Bayesian Choice
- Structural Vector Autoregressive Analysis
- An invariant form for the prior probability in estimation problems
- Local Projections and VARs Estimate the Same Impulse Responses
- Identification of SVAR Models by Combining Sign Restrictions With External Instruments
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