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Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression

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References

2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
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2009Structural vector autoregressions with Markov switching224 cited
2016Identification and estimation of non-Gaussian structural vector autoregressions192 cited
2011Business cycle measurement with some theory184 cited
2015

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The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling

152 cited

2014Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks121 cited

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2022Identification of SVAR models by combining sign restrictions with external instruments14 cited
2024Statistically identified structural VAR model with potentially skewed and fat‐tailed errors12 cited