Invalid proxies and volatility changes
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- Giovanni Angelini & Luca Fanelli & Luca Neri, 2024. "Invalid proxies and volatility changes," Working Papers wp1193, Dipartimento Scienze Economiche, Universita' di Bologna.
References listed on IDEAS
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- Giovanni Angelini & Giuseppe Cavaliere & Luca Fanelli, 2022. "An identification and testing strategy for proxy-SVARs with weak proxies," Papers 2210.04523, arXiv.org, revised Oct 2023.
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More about this item
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
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2024-04-15 (Econometric Time Series)
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