On - line appendix to " Estimating overidenti ed , non - recursive , time varying coe ¢ cients structural VARs
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چکیده
منابع مشابه
Estimating Overidentified, Nonrecursive Time-Varying Coefficients Structural VARs
This paper provides a method to estimate time varying coe¢ cients structural VARs which are non-recursive and potentially overidenti ed. The procedure allows for linear and non-linear restrictions on the parameters, maintains the multi-move structure of standard algorithms and can be used to estimate structural models with di¤erent identi cation restrictions. We study the transmission of moneta...
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This paper provides a general procedure to estimate structural VARs. The algorithm can be used in constant or time varying coe¢ cient models, and in the latter case, the law of motion of the coe¢ cients can be linear or non-linear. It can deal in a uni ed way with just-identi ed (recursive or non-recursive) or overidenti ed systems where identi cation restrictions are of linear or of nonlinear ...
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