arXiv 31 Oct 2021 · Econometrics · 8 citations (OpenAlex)
arXiv:2111.00450 · PDF · DOI · OpenAlex · Extracted main text
Vector autoregressive (VAR) models are widely used in practical studies, e.g., forecasting, modelling policy transmission mechanism, and measuring connection of economic agents. To better capture the dynamics, this paper introduces a new class of time-varying VAR models in which the coefficients and covariance matrix of the error innovations are allowed to change smoothly over time. Accordingly, we establish a set of theories, including the impulse responses analyses subject to both of the short-run timing and the long-run restrictions, an information criterion to select the optimal lag, and a Wald-type test to determine the constant coefficients. Simulation studies are conducted to evaluate the theoretical findings. Finally, we demonstrate the empirical relevance and usefulness of the proposed methods through an application to the transmission mechanism of U.S. monetary policy.
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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 | Primiceri (2005) `Time varying structural vector autoregressions and monetary policy', Review of Economic Studies 72(3), 821–852 | 1.000 | 11 | 4 | 100% |
| 2 | Zhang \ Wu (2012) `Inference of time-varying regression models', Annals of Statistics 40(3), 1376–1402 | 1.000 | 6 | 4 | 100% |
| 3 | Truquet (2017) `Parameter stability and semiparametric inference in time varying auto-regressive conditional heteroscedasticity models', Journa… | 0.928 | 4 | 3 | 100% |
| 4 | Sims \ Zha (2006) `Were there regime switches in U.S. monetary policy?', American Economic Review 96(1), 54–81 | 0.811 | 4 | 2 | 100% |
| 5 | Kilian \ Lütkepohl (2017) Structural Vector Autoregressive Analysis, Cambridge University Press | 0.644 | 2 | 2 | 100% |
| 6 | Cogley \ Sargent (2005) `Drifts and volatilities: Monetary policies and outcomes in the post World War II U.S.', Review of Economic Dynamics 8(2), 262–302 | 0.511 | 2 | 1 | 100% |
| 7 | Paul (2020) `The time-varying effect of monetary policy on asset prices', Review of Economics and Statistics 102(4), 690–704 | 0.511 | 2 | 1 | 100% |
| 8 | Tsay (1998) `Testing and modelling multivariate threshold models', Journal of the American Statistical Association 93(443), 1188–1202 | 0.511 | 2 | 1 | 100% |
| 9 | Connor, Hagmann \ Linton (2012) `Efficient semiparametric estimation of the Fama-French model and extensions', Econometrica 80(2), 713–754 | 0.405 | 1 | 1 | 100% |
| 10 | Jentsch \ Lunsford (2021) `Asymptotically valid bootstrap inference for proxy svars', Journal of Business & Economic Statistics p. forthcoming | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 37 scored citations.