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econ.EM2022★ 3 cited
An identification and testing strategy for proxy-SVARs with weak proxies
Giovanni Angelini, Giuseppe Cavaliere, Luca Fanelli
When proxies (external instruments) used to identify target structural shocks are weak, inference in proxy-SVARs (SVAR-IVs) is nonstandard and the construction of asymptotically va…
econ.EM2022
Time-Varying Poisson Autoregression
Giovanni Angelini, Giuseppe Cavaliere, Enzo D'Innocenzo +1
In this paper we propose a new time-varying econometric model, called Time-Varying Poisson AutoRegressive with eXogenous covariates (TV-PARX), suited to model and forecast time ser…