Vector Autoregressions

ESEM

Presenter(s)	Type			Length	Chair	Room Number	Add to calendar
Sascha Keweloh Martin Bruns Nicolas Doremus Robin Braun	Contributed Sessions	25/08	14:00 CEST	90 mins	Robin Braun	N28	Add to Calendar `2022-08-25 14:00:00 2022-08-25 15:30:00 EEA-ESEM 2022: Vector Autoregressions. Room: N28 EEA-ESEM 2022 congress@eeassoc.org Europe/Rome public`

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Papers

(Listed in order of presenters above)

Block-recursive non-Gaussian structural vector autoregressions: Identification, Efficiency, and Moment Selection

Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies

Identification of Nonlinear Time Series Models with Additive Noise

Time Varying IV-SVARs and the Effects of Monetary Policy on Financial Variables

Presentations

Block-recursive non-Gaussian structural vector autoregressions: Identification, Efficiency, and Moment Selection

Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies

Identification of Nonlinear Time Series Models with Additive Noise

Time Varying IV-SVARs and the Effects of Monetary Policy on Financial Variables

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