Structural Panel Bayesian VAR with Multivariate Time-Varying Volatility to Jointly Deal with Structural Changes, Policy Regime Shifts, and Endogeneity Issues
Sign Up to like & getrecommendations! Published in 2021 at "Econometrics"
DOI: 10.3390/econometrics9020020
Abstract: This paper improves a standard Structural Panel Bayesian Vector Autoregression model in order to jointly deal with issues of endogeneity, because of omitted factors and unobserved heterogeneity, and volatility, because of policy regime shifts and… read more here.
Keywords: regime shifts; volatility; structural panel; policy regime ... See more keywords