3 papers
econ.EM2026
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…
econ.EM2024
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…
econ.EM2023
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…