Identifying noise shocks

DOI10.1016/J.JEDC.2019.103780MaRDI QIDQ2291785zbMATH OpenOpenAlexWikidataFDO

Authors Luca Benati, Joshua Chan, Eric Eisenstat, Gary Koop

Publication date 31 January 2020

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://boris.unibe.ch/145856/

zbMATH Keywords

news shocksnoise shocksstructural VARsVARMAs

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• Do TFP and the relative price of investment share a common I(1) component?
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Hypothesis Testing with Restricted Spectral Density Matrices, with an Application to Uncovered Interest Parity
• Large Bayesian VARMAs
• VAR analysis, nonfundamental representations, Blaschke matrices

Cited in

(7)

• Do we reject restrictions identifying fiscal shocks? Identification based on non-Gaussian innovations
• Choosing between identification schemes in noisy-news models
• Large shocks vs. small shocks. (Or does size matter? May be so.)
• News shocks or parametric indeterminacy? an observational equivalence result in linear rational expectations models
• The ontological status of shocks and trends in macroeconomics
• Identification and inference with ranking restrictions
• Loud shot noise

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