Browsing Economics and Finance by Subject "Identification"
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Blended Identification in Structural VARs
The proposed blended approach combines identification via heteroskedasticity with sign/narrative restrictions, and instrumental variables. Since heteroskedasticity can point identify shocks, its use results in a sharp ... -
Max Share Identification of Multiple Shocks: An Application to Uncertainty and Financial Conditions
We generalize the Max Share approach to allow for simultaneous identification of a multiplicity of shocks in a Structural Vector Autoregression. Our machinery therefore overcomes the well-known drawbacks that individually ...