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

Cites work

scientific article; zbMATH DE number 2199188 (Why is no real title available?)
An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output
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Local projections and VARs estimate the same impulse responses
Nonlinear Time Series
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Parameter Stability and Semiparametric Inference in Time Varying Auto-Regressive Conditional Heteroscedasticity Models
Statistical inference for time-varying ARCH processes
Structural vector autoregressive analysis
Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
Testing and Modeling Multivariate Threshold Models
The uniform validity of impulse response inference in autoregressions
Time Varying Structural Vector Autoregressions and Monetary Policy
Time-varying model averaging
Understanding the size of the government spending multiplier: it's in the sign

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