Heteroskedastic proxy vector autoregressions: an identification-robust test for time-varying impulse responses in the presence of multiple proxies
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Publication:6567094
DOI10.1016/j.jedc.2024.104837MaRDI QIDQ6567094
Helmut Lütkepohl, Martin Bruns
Publication date: 4 July 2024
Published in: Unnamed Author (Search for Journal in Brave)
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Cites Work
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- Structural Vector Autoregressive Analysis
- Identification of SVAR Models by Combining Sign Restrictions With External Instruments
- Heteroscedastic Proxy Vector Autoregressions
- Asymptotically Valid Bootstrap Inference for Proxy SVARs
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