3 papers
econ.EM2026
Identification in (Endogenously) Nonlinear SVARs Is Easier Than You Think
James A. Duffy, Sophocles Mavroeidis
We study identification in structural vector autoregressions (SVARs) in which the endogenous variables enter nonlinearly on the left-hand side of the model, a feature we term endog…
econ.EM2025
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…
econ.EM2025
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…