Partial identification of structural vector autoregressions with non-centred stochastic volatility

DOI10.1016/J.JECONOM.2025.106107MaRDI QIDQ7296557zbMATH OpenFDO

Authors Helmut Lütkepohl, Fei Shang, Tomasz Woźniak

Publication date 14 July 2026

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2025.106107

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A Direct Approach to False Discovery Rates
• A Gibbs sampler for structural vector autoregressions
• Achieving shrinkage in a time-varying parameter model framework
• An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output
• Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
• Bayes Factors
• Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
• Common Drifting Volatility in Large Bayesian VARs
• GMM Estimation of Non-Gaussian Structural Vector Autoregression
• Hierarchical shrinkage in time-varying parameter models
• scientific article; zbMATH DE number 720689 (Why is no real title available?)
• Identification of Structural Vector Autoregressions by Stochastic Volatility
• Identification, estimation and testing of conditionally heteroskedastic factor models
• Identifying shocks via time-varying volatility
• Large Order-Invariant Bayesian VARs with Stochastic Volatility
• Likelihood preserving normalization in multiple equation models
• Measuring The Reaction of Monetary Policy to the Stock Market
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility
• Sampling-Based Approaches to Calculating Marginal Densities
• Specification tests for time-varying parameter models with stochastic volatility
• Stochastic model specification search for Gaussian and partial non-Gaussian state space models
• Stochastic volatility with leverage: fast and efficient likelihood inference
• Structural vector autoregressions with Markov switching
• Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
• Structural vector autoregressions with smooth transition in variances
• Structural vector autoregressions: theory of identification and algorithms for inference
• Structural vector autoregressive analysis
• Testing for identification in SVAR-GARCH models
• Testing identification via heteroskedasticity in structural vector autoregressive models
• Time Varying Structural Vector Autoregressions and Monetary Policy

Cited in

(1)

• bsvars

This page was built for publication: Partial identification of structural vector autoregressions with non-centred stochastic volatility

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7296557)