SVARs Identification Through Bounds on the Forecast Error Variance

DOI10.1080/07350015.2021.1927742MaRDI QIDQ6620948zbMATH OpenFDO

Authors Alessio Volpicella

Publication date 17 October 2024

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/10.1080/07350015.2021.1927742

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• Delta-method inference for a class of set-identified SVARs
• Inference based on structural vector autoregressions identified with sign and zero restrictions: theory and applications
• Inference for VARs identified with sign restrictions
• Sign restrictions, structural vector autoregressions, and useful prior information
• Structural vector autoregressive analysis
• What do VARs tell us about the impact of a credit supply shock?

Cited in

(1)

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

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