Title:Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions Author(s):CANOVA, Fabio; PÉREZ FORERO, Fernando J.Date:2015Citation:
- Quantitative Economics, 2015, Vol. 6, No. 2, pp. 359-384
Type:ArticleAbstract:This paper provides a general procedure to estimate structural vector autoregressions. The algorithm can be used in constant or time-varying coefficient models, and in the latter case, the law of motion of the coefficients ...
Title:Has the Euro-Mediterranean partnership affected mediterranean business cycles? Author(s):CANOVA, Fabio; SCHLAEPFER, AlainDate:2015Citation:
- Journal of applied econometrics, 2015, Vol. 30, No. 2, pp. 241-262
Type:ArticleAbstract:We date turning points of the reference cycle for 19 Mediterranean countries and analyze their structure and interdependencies. Fluctuations are volatile and not highly correlated across countries; recessions are deep but ...