2 papers
econ.EM2026
Identification Verification for Structural Vector Autoregressions with Sparse Heterogeneous Markov Switching Heteroskedasticity
Fei Shang, Tomasz Woźniak
We propose a structural vector autoregressive model with a new and flexible specification of the volatility process which we call Sparse Heterogeneous Markov-Switching Heteroskedas…
econ.EM2025
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…