Endogenous Time Variation in Vector Autoregressions
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- Danilo Leiva-Leon & Luis Uzeda, 2021. "Endogenous time variation in vector autoregressions," Working Papers 2108, Banco de España;Working Papers Homepage.
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.
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More about this item
KeywordsEconometric and statistical methods; Inflation and prices; Transmission of monetary policy;
All these keywords.
- 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
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CBA-2020-05-18 (Central Banking)
- NEP-ECM-2020-05-18 (Econometrics)
- NEP-ETS-2020-05-18 (Econometric Time Series)
- NEP-MAC-2020-05-18 (Macroeconomics)
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