Reduced-Rank Identification of Structural Shocks in VARs
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More about this item
Keywords
Vector autoregressions; identification; factor structure; monetary policy;
All these keywords.JEL classification:
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- 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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2005-12-20 (Econometrics)
- NEP-ETS-2005-12-20 (Econometric Time Series)
- NEP-IFN-2005-12-20 (International Finance)
- NEP-MAC-2005-12-20 (Macroeconomics)
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