Browsing Economics and Finance by Subject "SVAR"

Now showing items 1-3 of 3

    • Blended Identification in Structural VARs 

      Carriero, A; Marcellino, M; Tornese, T
      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 ...

    • DSGE-based priors for BVARs and quasi-Bayesian DSGE estimation 

      Filippeli, T; Harrison, R; Theodoridis, K (Elsevier/Science Direct, 2019-01-18)
      © 2019 EcoSta Econometrics and Statistics A new method for estimating Bayesian vector autoregression (VAR) models using priors from a dynamic stochastic general equilibrium (DSGE) model is presented. The DSGE model priors ...

    • Macro uncertainty in the long run 

      Carriero, A; Marcellino, M; Tornese, T (2023)