Partial Identification of Heteroskedastic Structural Vector Autoregressions: Theory and Bayesian Inference
Author
Abstract
Suggested Citation
DOI: 10.34989/swp-2025-14
Download full text from publisher
References listed on IDEAS
- Juan F. Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2010.
"Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 77(2), pages 665-696.
- Juan F. Rubio-Ramirez & 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.
- Darjus Hosszejni & Gregor Kastner, 2019. "Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol," Papers 1906.12123, arXiv.org, revised Feb 2021.
- Kilian,Lutz & Lütkepohl,Helmut, 2018.
"Structural Vector Autoregressive Analysis,"
Cambridge Books,
Cambridge University Press, number 9781107196575, Enero-Abr.
- Kilian,Lutz & Lütkepohl,Helmut, 2017. "Structural Vector Autoregressive Analysis," Cambridge Books, Cambridge University Press, number 9781316647332, Enero-Abr.
- John D. Storey, 2002. "A direct approach to false discovery rates," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(3), pages 479-498, August.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Helmut Lutkepohl & Fei Shang & Luis Uzeda & Tomasz Wo'zniak, 2024.
"Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference,"
Papers
2404.11057, arXiv.org.
- Helmut Lütkepohl & Fei Shang & Luis Uzeda & Tomasz Woźniak, 2024. "Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference," Discussion Papers of DIW Berlin 2081, DIW Berlin, German Institute for Economic Research.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018.
"Bayesian Vector Autoregressions,"
The Warwick Economics Research Paper Series (TWERPS)
1159, University of Warwick, Department of Economics.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
- Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," SciencePo Working papers Main hal-03458277, HAL.
- Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," Working Papers hal-03458277, HAL.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," Bank of England working papers 756, Bank of England.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," Documents de Travail de l'OFCE 2018-18, Observatoire Francais des Conjonctures Economiques (OFCE).
- Silvia Miranda-Agrippino & Giovanni Ricco, 2018. "Bayesian Vector Autoregressions," Discussion Papers 1808, Centre for Macroeconomics (CFM).
- Gulan, Adam & Haavio, Markus & Kilponen, Juha, 2021.
"Can large trade shocks cause crises? The case of the Finnish–Soviet trade collapse,"
Journal of International Economics, Elsevier, vol. 131(C).
- Gulan, Adam & Haavio, Markus & Kilponen, Juha, 2019. "Can large trade shocks cause crises? The case of the Finnish-Soviet trade collapse," Bank of Finland Research Discussion Papers 9/2019, Bank of Finland.
- Montiel Olea, José Luis & Nesbit, James, 2021. "(Machine) learning parameter regions," Journal of Econometrics, Elsevier, vol. 222(1), pages 716-744.
- Matthew Read, 2023.
"Estimating the Effects of Monetary Policy in Australia Using Sign‐restricted Structural Vector Autoregressions,"
The Economic Record, The Economic Society of Australia, vol. 99(326), pages 329-358, September.
- Matthew Read, 2022. "Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions," RBA Research Discussion Papers rdp2022-09, Reserve Bank of Australia.
- David S. Jacks & Martin Stuermer, 2021.
"Dry bulk shipping and the evolution of maritime transport costs, 1850–2020,"
Australian Economic History Review, Economic History Society of Australia and New Zealand, vol. 61(2), pages 204-227, July.
- Jacks, David & Stuermer, Martin, 2020. "Dry Bulk Shipping and the Evolution of Maritime Transport Costs, 1850-2020," MPRA Paper 104710, University Library of Munich, Germany.
- David S. Jacks & Martin Stuermer, 2021. "Dry Bulk Shipping and the Evolution of Maritime Transport Costs, 1850-2020," Working Papers 2102, Federal Reserve Bank of Dallas.
- Jacks, David & Stuermer, Martin, 2021. "Dry Bulk Shipping and the Evolution of Maritime Transport Costs, 1850-2020," CEPR Discussion Papers 15956, C.E.P.R. Discussion Papers.
- David S. Jacks & Martin Stuermer, 2021. "Dry Bulk Shipping and the Evolution of Maritime Transport Costs, 1850-2020," NBER Working Papers 28627, National Bureau of Economic Research, Inc.
- Robin Braun & Ralf Brüggemann, 2017.
"Identification of SVAR Models by Combining Sign Restrictions With External Instruments,"
Working Paper Series of the Department of Economics, University of Konstanz
2017-07, Department of Economics, University of Konstanz.
- Braun, Robin & Brüggemann, Ralf, 2022. "Identification of SVAR models by combining sign restrictions with external instruments," Bank of England working papers 961, Bank of England.
- Lutz Kilian & Xiaoqing Zhou, 2020.
"Does drawing down the US Strategic Petroleum Reserve help stabilize oil prices?,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 673-691, September.
- Lutz Kilian & Xiaoqin Zhou, 2019. "Does Drawing Down the U.S. Strategic Petroleum Reserve Help Stabilize Oil Prices?," CESifo Working Paper Series 7753, CESifo.
- Kilian, Lutz & Zhou, Xiaoqing, 2020. "Does drawing down the U.S. strategic petroleum reserve help stabilize oil prices?," CFS Working Paper Series 647, Center for Financial Studies (CFS).
- Kilian, Lutz & Zhou, Xiaoqing, 2019. "Does Drawing Down the U.S. Strategic Petroleum Reserve Help Stabilize Oil Prices?," CEPR Discussion Papers 13849, C.E.P.R. Discussion Papers.
- Lutz Kilian & Xiaoqing Zhou, 2019. "Does Drawing Down the U.S. Strategic Petroleum Reserve Help Stabilize Oil Prices?," Working Papers 1916, Federal Reserve Bank of Dallas.
- Giovanni Angelini & Luca Fanelli, 2019.
"Exogenous uncertainty and the identification of structural vector autoregressions with external instruments,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(6), pages 951-971, September.
- Angelini, Giovanni & Fanelli, Luca, 2018. "Exogenous uncertainty and the identification of Structural Vector Autoregressions with external instruments," MPRA Paper 93864, University Library of Munich, Germany, revised May 2019.
- Cordoni, Francesco & Dorémus, Nicolas & Moneta, Alessio, 2024.
"Identification of vector autoregressive models with nonlinear contemporaneous structure,"
Journal of Economic Dynamics and Control, Elsevier, vol. 162(C).
- Francesco Cordoni & Nicolas Doremus & Alessio Moneta, 2023. "Identification of Vector Autoregressive Models with Nonlinear Contemporaneous Structure," LEM Papers Series 2023/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Raffaella Giacomini & Toru Kitagawa & Matthew Read, 2021.
"Identification and Inference Under Narrative Restrictions,"
Papers
2102.06456, arXiv.org.
- Raffaella Giacomini & Toru Kitagawa & Matthew Read, 2023. "Identification and Inference under Narrative Restrictions," RBA Research Discussion Papers rdp2023-07, Reserve Bank of Australia.
- Atsushi Inoue & Lutz Kilian, 2020.
"The Role of the Prior in Estimating VAR Models with Sign Restrictions,"
Working Papers
2030, Federal Reserve Bank of Dallas.
- Inoue, Atsushi & Kilian, Lutz, 2021. "The role of the prior in estimating VAR models with sign restrictions," CFS Working Paper Series 660, Center for Financial Studies (CFS).
- Kilian, Lutz & Inoue, Atsushi, 2020. "The Role of the Prior in Estimating VAR Models with Sign Restrictions," CEPR Discussion Papers 15545, C.E.P.R. Discussion Papers.
- Motto, Roberto & Özen, Kadir, 2022. "Market-stabilization QE," Working Paper Series 2640, European Central Bank.
- Sara Boni & Francesco Ravazzolo, 2022. "A Structural Analysis of Unemployment-Generating Supply Shocks with an Application to the US Pharmaceutical Industry," BEMPS - Bozen Economics & Management Paper Series BEMPS94, Faculty of Economics and Management at the Free University of Bozen.
- Inoue, Atsushi & Kilian, Lutz, 2022.
"Joint Bayesian inference about impulse responses in VAR models,"
Journal of Econometrics, Elsevier, vol. 231(2), pages 457-476.
- Inoue, Atsushi & Kilian, Lutz, 2020. "Joint Bayesian inference about impulse responses in VAR models," CFS Working Paper Series 650, Center for Financial Studies (CFS).
- Atsushi Inoue & Lutz Kilian, 2020. "Joint Bayesian Inference about Impulse Responses in VAR Models," Working Papers 2022, Federal Reserve Bank of Dallas.
- Pintor, Gabor, 2016. "The macroeconomic shock with the highest price of risk," LSE Research Online Documents on Economics 86225, London School of Economics and Political Science, LSE Library.
- Fabio Canova & Filippo Ferroni, 2022.
"Mind the Gap! Stylized Dynamic Facts and Structural Models,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 14(4), pages 104-135, October.
- Fabio Canova & Filippo Ferroni, 2018. "Mind the gap! Stylized dynamic facts and structural models," Working Papers No 13/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Fabio Canova & Filippo Ferroni, 2020. "Mind the gap! Stylized Dynamic Facts and Structural Models," Working Paper Series WP-2020-29, Federal Reserve Bank of Chicago.
- Canova, Fabio & Ferroni, Filippo, 2019. "Mind the gap! Stylized dynamic facts and structural models," CEPR Discussion Papers 13948, C.E.P.R. Discussion Papers.
- Canova, Fabio & Ferroni, Filippo, 2019. "Mind the gap! Stylized dynamic facts and structural models," Working Paper Series 378, Sveriges Riksbank (Central Bank of Sweden).
- Dimitris Korobilis, 2020.
"Sign restrictions in high-dimensional vector autoregressions,"
Working Paper series
20-09, Rimini Centre for Economic Analysis.
- Dimitris Korobilis, 2020. "Sign restrictions in high-dimensional vector autoregressions," Working Papers 2020_21, Business School - Economics, University of Glasgow.
- Emanuele Bacchiocchi & Andrea Bastianin & Toru Kitagawa & Elisabetta Mirto, 2024.
"Partially identified heteroskedastic SVARs,"
Papers
2403.06879, arXiv.org, revised Mar 2024.
- Emanuele Bacchiocchi & Andrea Bastianin & Toru Kitagawa & Elisabetta Mirto, 2024. "Partially identified heteroskedastic SVARs," Working Papers 2024.15, Fondazione Eni Enrico Mattei.
- Bacchiocchi, Emanuele & Bastianin, Andrea & Kitagawa, Toru & Mirto, Elisabetta, 2024. "Partially identified heteroskedastic SVARs," FEEM Working Papers 343513, Fondazione Eni Enrico Mattei (FEEM).
- Kilian, Lutz, 2022.
"Facts and fiction in oil market modeling,"
Energy Economics, Elsevier, vol. 110(C).
- Lutz Kilian, 2019. "Facts and Fiction in Oil Market Modeling," CESifo Working Paper Series 7902, CESifo.
- Kilian, Lutz, 2021. "Facts and fiction in oil market modeling," CFS Working Paper Series 661, Center for Financial Studies (CFS).
- Lutz Kilian, 2019. "Facts and Fiction in Oil Market Modeling," Working Papers 1907, Federal Reserve Bank of Dallas, revised 21 Dec 2020.
- Kilian, Lutz, 2019. "Facts and Fiction in Oil Market Modeling," CEPR Discussion Papers 14047, C.E.P.R. Discussion Papers.
More about this item
Keywords
Econometric and statistical methods; Fiscal policy;JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: 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
- 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-ECM-2025-05-26 (Econometrics)
- NEP-ETS-2025-05-26 (Econometric Time Series)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bca:bocawp:25-14. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/bocgvca.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.