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Found 11 papers, 0 papers with code
Common Trends and Long-Run Multipliers in Nonlinear Structural VARs
While it is widely recognised that linear (structural) VARs may omit important features of economic time series, the use of nonlinear SVARs has to date been almost entirely confined to the modelling of stationary time series, because of a lack of understanding as to how common stochastic trends may be accommodated within nonlinear VAR models.
Stationarity with Occasionally Binding Constraints
This paper studies a class of multivariate threshold autoregressive models, known as censored and kinked structural vector autoregressions (CKSVAR), which are notably able to accommodate series that are subject to occasionally binding constraints.
Cointegration with Occasionally Binding Constraints
In the literature on nonlinear cointegration, a long-standing open problem relates to how a (nonlinear) vector autoregression, which provides a unified description of the short- and long-run dynamics of a collection of time series, can generate 'nonlinear cointegration' in the profound sense of those series sharing common nonlinear stochastic trends.
A Ridge-Regularised Jackknifed Anderson-Rubin Test
We consider hypothesis testing in instrumental variable regression models with few included exogenous covariates but many instruments -- possibly more than the number of observations.
Coherence without Rationality at the Zero Lower Bound
Models with no rational expectations equilibria admit self-confirming equilibria involving the use of simple mis-specified forecasting models.
Empirical evidence on the Euler equation for investment in the US
Is the typical specification of the Euler equation for investment employed in DSGE models consistent with aggregate macro data?
Identification at the Zero Lower Bound
I show that the Zero Lower Bound (ZLB) on interest rates can be used to identify the causal effects of monetary policy.
A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity
We show theoretically that the new test has asymptotic size bounded by the nominal size and document improved power relative to the AR/AR test in a wide array of Monte Carlo simulations when the covariance matrix is not too far from AKP.
Testing the effectiveness of unconventional monetary policy in Japan and the United States
Unconventional monetary policy (UMP) may make the effective lower bound (ELB) on the short-term interest rate irrelevant.
A Test for Kronecker Product Structure Covariance Matrix
We propose a test for a covariance matrix to have Kronecker Product Structure (KPS).
The unbearable lightness of equilibria in a low interest rate environment
Structural models with no solution are incoherent, and those with multiple solutions are incomplete.
