most citedA Gaussian smooth transition vector autoregressive model: An application to the macroeconomic effects of severe weather shocks

3 citations · 3 across the 2 of their papers we have counts for

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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.EM2024★ 3 cited

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…