Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models

Cites Work

Time Varying Structural Vector Autoregressions and Monetary Policy
Statistical inference for time-varying ARCH processes
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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Structural Vector Autoregressive Analysis
On the Kullback-Leibler information divergence of locally stationary processes
Cross validation for locally stationary processes
Nonparametric regression for locally stationary time series
Impulse response analysis in nonlinear multivariate models
Conditions for linear processes to be strong-mixing
Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
Bandwidth Selection in Nonparametric Kernel Testing
Inference of time-varying regression models
Testing and Modeling Multivariate Threshold Models
Inference on impulse response functions in structural VAR models
Nonlinear Time Series
An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output
Inference on stochastic time-varying coefficient models
Time-varying model averaging
Parameter Stability and Semiparametric Inference in Time Varying Auto-Regressive Conditional Heteroscedasticity Models
Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models
Local Projections and VARs Estimate the Same Impulse Responses
The uniform validity of impulse response inference in autoregressions
Understanding the Size of the Government Spending Multiplier: It’s in the Sign

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