Identifying shocks via time-varying volatility
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(25)- Temporal aggregation and SVAR identification, with an application to fiscal policy
- Seigniorage and conventional taxation with multiple exogenous shocks
- Do we reject restrictions identifying fiscal shocks? Identification based on non-Gaussian innovations
- Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty
- Identifying noise shocks
- Structural VARs, deterministic and stochastic trends: how much detrending matters for shock identification
- The analytics of SVARs: a unified framework to measure fiscal multipliers
- Mode Identification of Volatility in Time-Varying Autoregression
- Revisiting the narrative approach of estimating tax multipliers
- scientific article; zbMATH DE number 5198651 (Why is no real title available?)
- Vector autoregression models with skewness and heavy tails
- Refining set-identification in VARs through independence
- Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks
- Locally robust inference for non-Gaussian SVAR models
- Identification of vector autoregressive models with nonlinear contemporaneous structure
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- Large Order-Invariant Bayesian VARs with Stochastic Volatility
- Testing for strong exogeneity in proxy-VARs
- A Statistically Identified Structural Vector Autoregression with Endogenously Switching Volatility Regime
- Time-varying macroeconomic announcement risk
- Estimating fiscal multipliers by combining statistical identification with potentially endogenous proxies
- Time-varying shock transmission in non-Gaussian structural vector autoregressions
- Adaptive change point detection and sparsity recovery
- Identification by non-Gaussianity in structural smooth transition vector autoregressive models
- Faster fiscal stimulus and a higher government spending multiplier in China: mixed-frequency identification with SVAR
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