Time‐varying coefficient vector autoregressions model based on dynamic correlation with an application to crude oil and stock markets
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DOI: 10.1016/j.envres.2016.07.015
Abstract: Abstract This paper proposes a new time‐varying coefficient vector autoregressions (VAR) model, in which the coefficient is a linear function of dynamic lagged correlation. The proposed model allows for flexibility in choices of dynamic correlation… read more here.
Keywords: time varying; time; correlation; vector autoregressions ... See more keywords
Inference in Structural Vector Autoregressions identified with an external instrument
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DOI: 10.1016/j.jeconom.2020.05.014
Abstract: Abstract This paper studies Structural Vector Autoregressions in which a structural shock of interest (e.g., an oil supply shock) is identified using an external instrument. The external instrument is taken to be correlated with the… read more here.
Keywords: instrument; vector autoregressions; external instrument; structural vector ... See more keywords
Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions
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DOI: 10.1016/j.jimonfin.2020.102250
Abstract: Abstract This paper discusses the problems associated with using information about the signs of certain magnitudes as a basis for drawing structural conclusions in vector autoregressions. We also review available tools to solve these problems.… read more here.
Keywords: conclusions structural; basis; vector autoregressions; sign restrictions ... See more keywords