Do we reject restrictions identifying fiscal shocks? Identification based on non-Gaussian innovations

DOI10.1016/J.JEDC.2022.104358MaRDI QIDQ2136973zbMATH OpenOpenAlexFDO

Authors Madina Karamysheva, Anton Skrobotov

Publication date 16 May 2022

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

Full work available at URL https://doi.org/10.1016/j.jedc.2022.104358

zbMATH Keywords

fiscal multipliersGMMidentificationnon-Gaussian time seriesSVAR

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)

Recommendations

• Identifying shocks via time-varying volatility
• Identification and estimation of non-Gaussian structural vector autoregressions
• The analytics of SVARs: a unified framework to measure fiscal multipliers
• Identifying noise shocks
• Nonlinear effects of fiscal policy over the business cycle

Cites work

• An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output
• Consistent Moment Selection Procedures for Generalized Method of Moments Estimation
• Estimation of a structural vector autoregression model using non-Gaussianity
• FISCAL CONSOLIDATION PROGRAMS AND INCOME INEQUALITY
• Fiscal foresight and information flows
• Fiscal Policy in an Expectations-Driven Liquidity Trap
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• scientific article; zbMATH DE number 2188315 (Why is no real title available?)
• Identification and estimation of non-Gaussian structural vector autoregressions
• Identifying shocks via time-varying volatility
• Inference based on structural vector autoregressions identified with sign and zero restrictions: theory and applications
• Information in generalized method of moments estimation and entropy-based moment selection
• Statistical inference for independent component analysis: application to structural VAR models
• 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 autoregressive analysis
• Testing for identification in SVAR-GARCH models
• The analytics of SVARs: a unified framework to measure fiscal multipliers

Cited in

(4)

• Identification of structural VAR models via independent component analysis: a performance evaluation study
• Revisiting the narrative approach of estimating tax multipliers
• Identifying shocks via time-varying volatility
• Estimating fiscal multipliers by combining statistical identification with potentially endogenous proxies

This page was built for publication: Do we reject restrictions identifying fiscal shocks? Identification based on non-Gaussian innovations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2136973)