2 papers
econ.EM2024
Partial Identification of Structural Vector Autoregressions with Non-Centred Stochastic Volatility
Helmut Lütkepohl, Fei Shang, Luis Uzeda +1
We consider structural vector autoregressions that are identified through stochastic volatility under Bayesian estimation. Three contributions emerge from our exercise. First, we s…
econ.EM2018
Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity
Helmut Lütkepohl, Tomasz Woźniak
In this study, Bayesian inference is developed for structural vector autoregressive models in which the structural parameters are identified via Markov-switching heteroskedasticity…