2 papers
econ.EM2026
Inference in Tightly Identified and Large-Scale Sign-Restricted SVARs
Markku Lanne, Jani Luoto, Adam Rybarczyk
We propose a new approach to inference in tightly identified and large-scale structural vector autoregressions based on a reparameterization that enables imposing identifying inequ…
econ.EM2025
A Gaussian smooth transition vector autoregressive model: An application to the macroeconomic effects of severe weather shocks
Markku Lanne, Savi Virolainen
We introduce a new smooth transition vector autoregressive model with a Gaussian conditional distribution and transition weights that, for a th order model, depend on the full d…