arXiv 11 Dec 2023 · Econometrics
arXiv:2312.06402 · PDF · DOI · OpenAlex · Extracted main text
This set of lecture notes discuss key concepts for the Structural Analysis of Vector Autoregressive models for the teaching of a course on Applied Macroeconometrics with Advanced Topics.
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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., Meitz, M., and Saikkonen, P (2017) Identification and estimation of non-gaussian structural vector autoregressions | 1.000 | 12 | 3 | 100% |
| 2 | Gouriéroux, C., Monfort, A., and Renne, J.-P (2020) Identification and estimation in non-fundamental structural varma models | 0.928 | 4 | 3 | 100% |
| 3 | Gafarov, B., Meier, M., and Montiel Olea, J. L (2018) Delta-method inference for a class of set-identified svars | 0.874 | 5 | 2 | 100% |
| 4 | Blanchard, O. J. and Quah, D (1988) The dynamic effects of aggregate demand and supply disturbances | 0.843 | 4 | 3 | 75% |
| 5 | Pesaran, M. H., Shin, Y., and Smith, R. J (2000) Structural analysis of vector error correction models with exogenous i (1) variables | 0.843 | 3 | 3 | 100% |
| 6 | Stock, J. H. and Watson, M. W (2018) Identification and estimation of dynamic causal effects in macroeconomics using external instruments | 0.811 | 4 | 2 | 100% |
| 7 | Hamilton, J. D (1994) Time series analysis | 0.737 | 3 | 2 | 100% |
| 8 | Hausman, J. A. and Taylor, W. E (1983) Identification in linear simultaneous equations models with covariance restrictions: An instrumental variables interpretation | 0.737 | 3 | 2 | 100% |
| 9 | Lanne, M., Lütkepohl, H., and Maciejowska, K (2010) Structural vector autoregressions with markov switching | 0.737 | 3 | 2 | 100% |
| 10 | Mertens, K. and Ravn, M. O (2013) The dynamic effects of personal and corporate income tax changes in the united states | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 338 scored citations.