Browsing Department of Economics (ECO) by Author "NETŠUNAJEV, Aleksei"

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Title: Structural vector autoregressions with Markov switching : identification via heteroskedasticity Author(s): NETŠUNAJEV, Aleksei Date: 2013 Type of Publication: Thesis Series/Report no.: EUI PhD theses Abstract: Structural vector autoregressions are of great importance in applied macroeconometric work. The main di culty associated with structural analysis is to identify unique shocks of interest. In a conventional approach this ...
Title: Reaction to Technology Shocks in Markov-Switchings Structural VARs: Identification via heteroskedasticity Author(s): NETŠUNAJEV, Aleksei Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The paper reconsiders the conflicting results in the debate connected to the effects of technology shocks on hours worked in the bivariate system. Given major dissatisfaction with the just-identifying long-run restrictions, ...

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