53 citations · 93 across the 11 of their papers we have counts for
12 papers
Identification in (Endogenously) Nonlinear SVARs Is Easier Than You Think
James A. Duffy, Sophocles Mavroeidis
We study identification in structural vector autoregressions (SVARs) in which the endogenous variables enter nonlinearly on the left-hand side of the model, a feature we term endog…
Common Trends and Long-Run Identification in Nonlinear Structural VARs
James A. Duffy, Sophocles Mavroeidis
While it is widely recognised that linear (structural) VARs may fail to capture important aspects of economic time series, the use of nonlinear SVARs has to date been almost entire…
Stationarity with Occasionally Binding Constraints
James A. Duffy, Sophocles Mavroeidis, Sam Wycherley
This paper studies a class of multivariate threshold autoregressive models, known as censored and kinked structural vector autoregressions (CKSVAR), which are notably able to accom…
Cointegration with Occasionally Binding Constraints
James A. Duffy, Sophocles Mavroeidis, Sam Wycherley
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- an…
A Ridge-Regularised Jackknifed Anderson-Rubin Test
Max-Sebastian Dovì, Anders Bredahl Kock, Sophocles Mavroeidis
We consider hypothesis testing in instrumental variable regression models with few included exogenous covariates but many instruments -- possibly more than the number of observatio…
Coherence without Rationality at the Zero Lower Bound
Guido Ascari, Sophocles Mavroeidis, Nigel McClung
Standard rational expectations models with an occasionally binding zero lower bound constraint either admit no solutions (incoherence) or multiple solutions (incompleteness). This…
Empirical evidence on the Euler equation for investment in the US
Guido Ascari, Qazi Haque, Leandro M. Magnusson +1
Is the typical specification of the Euler equation for investment employed in DSGE models consistent with aggregate macro data? Using state-of-the-art econometric methods that are…
Identification at the Zero Lower Bound
Sophocles Mavroeidis
I show that the Zero Lower Bound (ZLB) on interest rates can be used to identify the causal effects of monetary policy. Identification depends on the extent to which the ZLB limits…
A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity
Patrik Guggenberger, Frank Kleibergen, Sophocles Mavroeidis
We introduce a new test for a two-sided hypothesis involving a subset of the structural parameter vector in the linear instrumental variables (IVs) model. Guggenberger et al. (2019…
Testing the effectiveness of unconventional monetary policy in Japan and the United States
Daisuke Ikeda, Shangshang Li, Sophocles Mavroeidis +1
Unconventional monetary policy (UMP) may make the effective lower bound (ELB) on the short-term interest rate irrelevant. We develop a theoretical model that underpins our empirica…
A Test for Kronecker Product Structure Covariance Matrix
Patrik Guggenberger, Frank Kleibergen, Sophocles Mavroeidis
We propose a test for a covariance matrix to have Kronecker Product Structure (KPS). KPS implies a reduced rank restriction on a certain transformation of the covariance matrix and…
The unbearable lightness of equilibria in a low interest rate environment
Guido Ascari, Sophocles Mavroeidis
Structural models with no solution are incoherent, and those with multiple solutions are incomplete. We show that models with occasionally binding constraints are not generically c…