Structural Vector Autoregressive Analysis

By Lutz Kilian, Helmut LÃ¼tkepohl. 2017

861 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/5ee645499ffad7c9f54ccaf6e86289ccb1e68095

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In Economics and Econometrics

Citations in the corpus

Modeling fluctuations in the global demand for commodities (2018, neutral): “It can be traced to the work of Tinbergen (1931), Stopford (1997), and Glen and Martin (2005), among others.”
Local Projections vs. VARs: Lessons From Thousands of DGPs (2021, methodology): “1 Intuitively, the extrapolation employed by VARs should yield a lower variance but potentially a higher bias than for LPs, perfectly analogous to the trade-off between direct and iterated reduced-form forecasts (Schorfheide, 2005; Kilian & Lütkepohl, 2017).”
GMM Estimation of Non-Gaussian Structural Vector Autoregression (2019, neutral): “As pointed out by Kilian and L¨utkepohl (2017, chap.”
Oil Prices, Exchange Rates and Interest Rates (2019, neutral): “We also follow the recent literature in imposing the restriction that the response of the real price of oil to the first three shocks is positive not only on impact, but for the first 12 months (e.g., Inoue and Kilian 2013; Kilian 2017).”
Local Projection Inference Is Simpler and More Robust Than You Think (2020, methodology): “7As an off-the-shelf, state-of-the-art HAR procedure, we choose the Equally Weighted Cosine (EWC) estimator with degrees of freedom as recommended by Lazarus et al. (2018, equations 4 and 10). The degrees of freedom depend on the effective sample size T − h and thus differ across horizons h. 8We use”
Non-monetary news in central bank communication (2018, methodology): “6) The restrictions are imposed using the Householder algorithm (see Kilian and Lütkepohl (2017), Chapter 13) in the following way:”
Granger Causality: A Review and Recent Advances (2021, background): “This more general form of (2) is known as a structural vector auto-regressive (SVAR) model (Kilian, 2013), and can be identiﬁed under certain parameter restrictions (Kilian and L¨utkepohl, 2017).”