dc.contributor.author | CANOVA, Fabio | |
dc.contributor.author | PÉREZ FORERO, Fernando J. | |
dc.date.accessioned | 2016-03-09T10:07:23Z | |
dc.date.available | 2016-03-09T10:07:23Z | |
dc.date.issued | 2015 | |
dc.identifier.citation | Quantitative Economics, 2015, Vol. 6, No. 2, pp. 359-384 | |
dc.identifier.issn | 1759-7331 | |
dc.identifier.uri | https://hdl.handle.net/1814/39311 | |
dc.description | Article first published online: 7 AUG 2015 | |
dc.description.abstract | 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 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.iso | en | |
dc.relation.ispartof | Quantitative economics | |
dc.title | Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions | |
dc.type | Article | |
dc.identifier.doi | 10.3982/QE305 | |
dc.identifier.volume | 6 | |
dc.identifier.startpage | 359 | |
dc.identifier.endpage | 384 | |
eui.subscribe.skip | true | |
dc.identifier.issue | 2 | |