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dc.contributor.authorCANOVA, Fabio
dc.contributor.authorPÉREZ FORERO, Fernando J.
dc.date.accessioned2016-03-09T10:07:23Z
dc.date.available2016-03-09T10:07:23Z
dc.date.issued2015
dc.identifier.citationQuantitative Economics, 2015, Vol. 6, No. 2, pp. 359-384
dc.identifier.issn1759-7331
dc.identifier.urihttps://hdl.handle.net/1814/39311
dc.descriptionArticle first published online: 7 AUG 2015
dc.description.abstractThis 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 can be linear or nonlinear. It can deal in a unified way with just-identified (recursive or nonrecursive) or overidentified systems where identification restrictions are of linear or of nonlinear form. We study the transmission of monetary policy shocks in models with time-varying and time-invariant parameters.
dc.language.isoen
dc.relation.ispartofQuantitative economics
dc.titleEstimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions
dc.typeArticle
dc.identifier.doi10.3982/QE305
dc.identifier.volume6
dc.identifier.startpage359
dc.identifier.endpage384
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dc.identifier.issue2


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