Max Share Identification of Multiple Shocks: An Application to Uncertainty and Financial Conditions

DOI10.1080/07350015.2024.2316829MaRDI QIDQ7023604zbMATH OpenFDO

Authors Andrea Carriero, Alessio Volpicella

Publication date 21 February 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/07350015.2024.2316829

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A New Approach to Identifying the Real Effects of Uncertainty Shocks
• Delta-method inference for a class of set-identified SVARs
• Identification and inference with ranking restrictions
• Inference for VARs identified with sign restrictions
• Robust Bayesian inference for set-identified models
• Robust Bayesian inference in proxy SVARs
• Sign restrictions, structural vector autoregressions, and useful prior information
• SVARs Identification Through Bounds on the Forecast Error Variance
• THE FEDERAL RESERVE'S IMPLICIT INFLATION TARGET AND MACROECONOMIC DYNAMICS: AN SVAR ANALYSIS
• The Impact of Uncertainty Shocks
• Uncertain identification
• Uncertainty Shocks as Second-Moment News Shocks
• Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty
• What do VARs tell us about the impact of a credit supply shock?

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