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econ.EM2024
From rotational to scalar invariance: Enhancing identifiability in score-driven factor models
Giuseppe Buccheri, Fulvio Corsi, Emilija Dzuverovic
We show that, for a certain class of scaling matrices including the commonly used inverse square-root of the conditional Fisher Information, score-driven factor models are identifi…
econ.EM2021
A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters
Giacomo Bormetti, Fulvio Corsi
We propose an observation-driven time-varying SVAR model where, in agreement with the Lucas Critique, structural shocks drive both the evolution of the macro variables and the dyna…