Mohrenstraße 58
Berlin, 10117
Germany
German Institute for Economic Research (DIW Berlin)
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Structural vector autoregression, identification via heteroskedasticity, conditional heteroskedasticity, smooth transition, Markov switching, GARCH
structural vector autoregression, identification via heteroskedasticity, conditional heteroskedasticity, smooth transition, Markov switching, GARCH
Structural vector autoregressions, heteroskedasticity, smooth transition VAR models, identification via heteroskedasticity
Impulse responses, Bayesian error bands, frequentist confidence bands, Wald statistic, vector autoregressive process
impulse responses, Bayesian error bands, frequentist confidence bands, Wald statistic, vector autoregressive process
Structural vector autoregression, conditional heteroskedasticity, GARCH, identification via heteroskedasticity
factor models, structural vector autoregressive model, global vector autoregression, panel data, Bayesian vector autoregression
Structural vector autoregression, local projection, impulse responses, instrumental variable
Vector autoregression, heteroskedasticity, vector GARCH, conditional heteroskedasticity, Markov switching model
vector autoregression, heteroskedasticity, vector GARCH, conditional heteroskedasticity, Markov switching model
Markov switching model, vector autoregression, heteroskedasticity, vector GARCH, conditional heteroskedasticity
Markov switching model, vector autoregression, heteroskedasticity, crude oil market
Structural vector autoregression, proxy VAR, heteroskedasticity, productivity shocks
structural vector autoregression, moving average representation, vector autoregressive moving average process, impulse response analysis, factor augmented VAR, Bayesian VAR J
Vector autoregressive process, impulse responses, bootstrap, confidence band
Heteroskedasticity, Simultaneous Equations Models, Testing for Identification, Davies' Problem
Impulse responses, joint confidence bands, highest density region, vector autoregressive process
Vector autoregressive process, impulse responses, bootstrap, Bayesian estimation
Structural vector autoregression, proxy VAR, external instruments, correlated shocks, Generalized Method of Moments
Structural vector autoregression, heteroskedasticity, cointegration, structural vector error correction model
