Identification of Structural Vector Autoregressions by Stochastic Volatility
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Cites work
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- Identification and estimation of non-Gaussian structural vector autoregressions
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Cited in
(5)- Large Order-Invariant Bayesian VARs with Stochastic Volatility
- Dimension reduction in vector autoregressive models for macroeconomic applications
- Investigating Economic Uncertainty Using Stochastic Volatility in Mean VARs: The Importance of Model Size, Order-Invariance and Classification
- Estimating fiscal multipliers by combining statistical identification with potentially endogenous proxies
- Identification of structural shocks in Bayesian vector error correction models with two-state Markov-switching heteroskedasticity
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