Refining set-identification in VARs through independence
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Publication:6108329
DOI10.1016/j.jeconom.2023.01.011MaRDI QIDQ6108329
Jonathan H. Wright, Thorsten Drautzburg
Publication date: 29 June 2023
Published in: Journal of Econometrics (Search for Journal in Brave)
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Related Items (3)
Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles ⋮ Locally robust inference for non-Gaussian linear simultaneous equations models ⋮ The importance of supply and demand for oil prices: Evidence from non‐Gaussianity
Cites Work
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- Local Projections and VARs Estimate the Same Impulse Responses
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