2 citations · 3 across the 2 of their papers we have counts for
2 papers
econ.EM2023★ 2 cited
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…
econ.EM2022★ 1 cited
Cointegration with Occasionally Binding Constraints
James A. Duffy, Sophocles Mavroeidis, Sam Wycherley
In the literature on nonlinear cointegration, a long-standing open problem relates to how a (nonlinear) vector autoregression, which provides a unified description of the short- an…