A topological view on the identification of structural vector autoregressions
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- Klaus Neusser, 2016. "A Topological View on the Identification of Structural Vector Autoregressions," Diskussionsschriften dp1604, Universitaet Bern, Departement Volkswirtschaft.
References listed on IDEAS
- Giorgio E. Primiceri, 2005. "Time Varying Structural Vector Autoregressions and Monetary Policy," Review of Economic Studies, Oxford University Press, vol. 72(3), pages 821-852.
- Waggoner, Daniel F. & Zha, Tao, 2003.
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"Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference,"
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Oxford University Press, vol. 77(2), pages 665-696.
- Juan F. Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2008. "Structural vector autoregressions: theory of identification and algorithms for inference," FRB Atlanta Working Paper 2008-18, Federal Reserve Bank of Atlanta.
- Christiane Baumeister & James D. Hamilton, 2015.
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More about this item
KeywordsSVAR; Identification; Group action; Haar measure; Perturbation;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- 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
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