arXiv 9 Jul 2020 · Econometrics · 2 citations (OpenAlex)
arXiv:2007.04713 · PDF · DOI · OpenAlex · Extracted main text
A structural Gaussian mixture vector autoregressive model is introduced. The shocks are identified by combining simultaneous diagonalization of the reduced form error covariance matrices with constraints on the time-varying impact matrix. This leads to flexible identification conditions, and some of the constraints are also testable. The empirical application studies asymmetries in the effects of the U.S. monetary policy shock and finds strong asymmetries with respect to the sign and size of the shock and to the initial state of the economy. The accompanying CRAN distributed R package gmvarkit provides a comprehensive set of tools for numerical analysis.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Lanne M., Lütkepohl H (2010) Structural Vector Autoregressions With Nonnormal Residuals | 1.000 | 5 | 3 | 100% |
| 2 | Kilian L., Lütkepohl H (2017) Structural Vector Autoregressive Analysis | 0.965 | 10 | 4 | 90% |
| 3 | Kalliovirta L., Meitz M., Saikkonen P (2016) Gaussian mixture vector autoregression | 0.961 | 9 | 5 | 89% |
| 4 | Lanne M., Lütkepohl H., Maciejowsla K (2010) Structural vector autoregressions with Markov switching | 0.941 | 6 | 4 | 83% |
| 5 | Koop G., Pesaran M., Potter S (1996) Impulse response analysis in nonlinear multivariate models | 0.928 | 5 | 4 | 80% |
| 6 | Virolainen S (2018) gmvarkit: Estimate Gaussian And Student's $t$ Mixture Vector Autoregressive Models | 0.843 | 4 | 4 | 75% |
| 7 | Muirhead R (1982) Aspects of Multivariate Statistical Theory | 0.737 | 4 | 4 | 50% |
| 8 | Lütkepohl H (2005) New Introduction to Multiple Time Series Analysis | 0.737 | 3 | 2 | 100% |
| 9 | Meitz M., Preve D., Saikkonen P. (forthcoming) (2021) A mixture autoregressive model based on Student's $t$-distribution | 0.644 | 3 | 2 | 67% |
| 10 | Ramey V. A (2016) Macroeconomic Shocks and Their Propagation | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 41 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Structural Analysis of Vector Autoregressive Models | 0.644 | 2 | 2 |