Understanding the effect of technology shocks in SVARs with long-run restrictions

DOI10.1016/J.JEDC.2014.01.012MaRDI QIDQ1994424zbMATH OpenOpenAlexFDO

Authors Jeremy Chaudourne, Patrick Fève, Alain Guay

Publication date 1 November 2018

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

Full work available at URL http://idei.fr/sites/default/files/medias/doc/wp/2012/wp_idei_738.pdf

zbMATH Keywords

hours workedlocally nonstationary processlong-run restrictionsSVARstechnology shocks

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cites work

• A method for taking models to the data
• Asymptotic inference for nearly nonstationary AR(1) processes
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Inference in nearly nonstationary SVAR models with long-run identifying restrictions
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Prediction of multivariate time series by autoregressive model fitting
• Towards a unified asymptotic theory for autoregression
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties

Cited in

(7)

• Business cycle analysis without much theory: A look at structural VARs
• Some analytics on bias in DSVARs
• Business cycle analysis and VARMA models
• The effects of permanent technology shocks on hours: can the RBC-model fit the VAR evidence?
• Neutral technology shocks and the dynamics of labor input: results from an agnostic identification
• ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS
• Identifying a permanent markup shock and its implications for macroeconomic dynamics

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