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Endogenous time variation in vector autoregressions
2021
Social Science Research Network
We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence -contemporaneously and with a lag -the dynamics of the intercept and autoregressive coefficients in these models. An estimation algorithm and a parametrization conducive to model comparison are also provided. We apply our framework to the US economy. Scenario analysis suggests that the effects of monetary policy on economic activity are larger
doi:10.2139/ssrn.3793520
fatcat:azdx2dblebdllfzdk5tk3uqhmq