SVAR Identification from Higher Moments: Has the Simultaneous Causality Problem Been Solved?
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DOI: 10.1257/pandp.20221047
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- José Luis Montiel Olea & Mikkel Plagborg-Møller & Eric Qian, 2021. "SVAR Identification From Higher Moments: Has the Simultaneous Causality Problem Been Solved?," Working Papers 2021-24, Princeton University. Economics Department..
References listed on IDEAS
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Cited by:
- Drautzburg, Thorsten & Wright, Jonathan H., 2023.
"Refining set-identification in VARs through independence,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 1827-1847.
- Thorsten Drautzburg & Jonathan H. Wright, 2021. "Refining Set-Identification in VARs through Independence," Working Papers 21-31, Federal Reserve Bank of Philadelphia.
- Thorsten Drautzburg & Jonathan H. Wright, 2021. "Refining Set-Identification in VARs through Independence," NBER Working Papers 29316, National Bureau of Economic Research, Inc.
- Drautzburg, Thorsten & Wright, Jonathan H, 2021. "Refining Set-Identification in VARs through Independence," Economics Working Paper Archive 64575, The Johns Hopkins University,Department of Economics.
- Davis, Richard & Ng, Serena, 2023. "Time series estimation of the dynamic effects of disaster-type shocks," Journal of Econometrics, Elsevier, vol. 235(1), pages 180-201.
- Geert Mesters & Piotr Zwiernik, 2022.
"Non-Independent Components Analysis,"
Working Papers
1358, Barcelona School of Economics.
- Geert Mesters & Piotr Zwiernik, 2022. "Non-independent components analysis," Economics Working Papers 1845, Department of Economics and Business, Universitat Pompeu Fabra.
- Bańbura, Marta & Bobeica, Elena & Martínez Hernández, Catalina, 2023. "What drives core inflation? The role of supply shocks," Working Paper Series 2875, European Central Bank.
- Keweloh, Sascha A. & Hetzenecker, Stephan & Seepe, Andre, 2023. "Monetary policy and information shocks in a block-recursive SVAR," Journal of International Money and Finance, Elsevier, vol. 137(C).
- Fiorentini, Gabriele & Sentana, Enrique, 2023.
"Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 643-665.
- Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," CEPR Discussion Papers 15411, C.E.P.R. Discussion Papers.
- Herwartz, Helmut & Wang, Shu, 2023. "Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).
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JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E00 - Macroeconomics and Monetary Economics - - General - - - General
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