SVARs with occasionally-binding constraints

DOI10.1016/J.JECONOM.2021.07.013MaRDI QIDQ2106378zbMATH OpenOpenAlexFDO

Authors S. Borağan Aruoba, Marko Mlikota, Frank Schorfheide, Sergio Villalvazo

Publication date 14 December 2022

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2021.07.013

zbMATH Keywords

Bayesian inferenceeffective lower boundlimited dependent variablessequential Monte Carlo methodsshadow ratestructural VARs

Mathematics Subject Classification ID

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

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Cites work

• \(\mathrm{SMC}^2\): an efficient algorithm for sequential analysis of state space models
• Bayesian and frequentist inference in partially identified models
• Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes
• Estimation in a Class of Simultaneous Equation Limited Dependent Variable Models
• Identification at the zero lower bound
• Inference in hidden Markov models.
• Macroeconomic dynamics near the ZLB: a tale of two countries
• Monte Carlo strategies in scientific computing
• Specification and Estimation of a Simultaneous-Equation Model with Limited Dependent Variables

Cited in

(7)

• Nowcasting the output gap with shadow rates
• Advances in using vector autoregressions to estimate structural magnitudes
• Sequential Monte Carlo with model tempering
• Cointegration with occasionally binding constraints
• Forecasting with shadow rate VARs
• Theory Coherent Shrinkage of Time-Varying Parameters in VARs
• Threshold factor-augmented vector autoregressive models

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