Investigating Economic Uncertainty Using Stochastic Volatility in Mean VARs: The Importance of Model Size, Order-Invariance and Classification
用波动率进入均值的 VAR 研究经济不确定性：规模、排序与分类
Stochastic Volatility in Mean Vector Autoregressions (SVMVARs) are popularly used to jointly estimate uncertainty and its economic effects. However, existing studies analyzing macroeconomic and financial uncertainty require the researcher to classify each variable as macroeconomic or financial before estimation, do not consider whether results are sensitive to model size and adopt a specification where results depend on the way the variables are ordered. We overcome these…