arXiv 30 Apr 2024 · Econometrics · publishedEconometric Reviews (2026) · 1 citations (OpenAlex)
arXiv:2404.19707 · PDF · DOI · OpenAlex · Extracted main text
We show that structural smooth transition vector autoregressive models are statistically identified if the shocks are mutually independent and at most one of them is Gaussian. This extends a known identification result for linear structural vector autoregressions to a time-varying impact matrix. We also propose an estimation method, show how a blended identification strategy can be adopted to address weak identification, and establish a sufficient condition for ergodic stationarity. The introduced methods are implemented in the accompanying R package sstvars. Our empirical application finds that a positive climate policy uncertainty shock reduces production and raises inflation under both low and high economic policy uncertainty, but its effects, particularly on inflation, are stronger during the latter.
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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 | Huang B., Punzi M (2024) Macroeconomic impact of environmental policy uncertainty and monetary policy implications | 1.000 | 9 | 3 | 100% |
| 2 | Khalil M., Strobel F (2023) Capital reallocation under climate policy uncertainty | 1.000 | 9 | 3 | 100% |
| 3 | Fried S., Novan K., Peterman W (2022) Climate policy transition risk and the macroeconomy | 1.000 | 5 | 3 | 100% |
| 4 | Lanne M., Meitz M., Saikkonen P (2017) Identification and estimation of non-Gaussian structural vector autoregressions | 0.953 | 15 | 5 | 87% |
| 5 | Virolainen S (2025) sstvars: Toolkit for reduced form and structural smooth transition vector autoregressive models | 0.843 | 5 | 5 | 60% |
| 6 | Baker S., Bloom N., Davis S (2016) Measuring economic policy uncertainty | 0.843 | 3 | 3 | 100% |
| 7 | Carriero A., Marcellino M., Tornese T (2024) Blended identification in structural VARs | 0.843 | 3 | 3 | 100% |
| 8 | Gavriilidis K (2021) Measuring climate policy uncertainty. Available at SSRN: https://ssrn.com/abstract=3847388 | 0.843 | 3 | 3 | 100% |
| 9 | Hubrich K., Teräsvirta T (2013) Thresholds and smooth transitions in vector autoregressive models | 0.737 | 3 | 3 | 67% |
| 10 | Tsay R (1998) Testing and modeling multivariate threshold models | 0.737 | 3 | 3 | 67% |
Showing the top 10 of 33 scored citations.