Abstract Changes in residual volatility are often used for identifying structural shocks in
vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or …

Tests for identification through heteroskedasticity in structural vector autoregressive analysis
are developed for models with two volatility states where the time point of volatility change is …

This paper introduces structural VAR analysis as a tool for investigating the anchoring of
inflation expectations. We show that US consumers' inflation expectations are anchored in …

With reference to a stylized theoretical macromodel, Blanchard and Quah (American
Economic Review, 1989, 79, 655–673) identify empirical aggregate supply (eg, productivity) …

Sažetak This paper introduces wavelet analysis as a tool for investigating the anchoring of
inflation expectations in the United States. We show that the anchoring of inflation …

In this article, a novel identification test is proposed, which can be applied to parameteric
models such as Mixture of Normal (MN) distributions, Markow Switching (MS), or Structural …

A central assumption for identifying structural shocks in vector autoregressive (VAR) models
via heteroskedasticity is the time-invariance of the impact effects of the shocks. It is shown …

This article is a panel VAR study of demand and supply shocks in the USA using state-level
data where structural shocks are decomposed into state idiosyncratic and common …

Kiinasta leviämään alkanut, koko maailmaa koskettavan häiriötilanteen aiheuttanut COVID-
19-pandemia on pysäyttänyt globaalin maailman tavalla, jollaista ihmiskunta ei ole kokenut …

Este artigo explora os efeitos de choques de oferta e demanda em um conjunto de países
da América Latina. Utilizamos dados sobre PIB real e Índice de Preços ao Consumidor …