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econ.EM2024★ 1 cited
Wild inference for wild SVARs with application to volatility-based IV
Bulat Gafarov, Madina Karamysheva, Andrey Polbin +1
We propose a dependent wild bootstrap method based on local projections for computing the joint asymptotic distribution of parameter estimates in structural vector autoregression m…
econ.EM2020
Estimating TVP-VAR models with time invariant long-run multipliers
Denis Belomestny, Ekaterina Krymova, Andrey Polbin
The main goal of this paper is to develop a methodology for estimating time varying parameter vector auto-regression (TVP-VAR) models with a timeinvariant long-run relationship bet…