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识别约束严密的大规模符号限制 SVAR 推断AI 解读

We propose a new approach to inference in tightly identified and large-scale structural vector autoregressions based on a reparameterization that enables imposing identifying inequality restrictions through continuously differentiable mappings. Permitted inequality restrictions include shape and ranking restrictions as well as bounds on economically relevant elasticities, and the approach is also able to accommodate zero restrictions in a straightforward manner. We implement…

高斯平滑转换向量自回归模型及严重天气冲击的宏观效应AI 解读

We introduce a new smooth transition vector autoregressive model with a Gaussian conditional distribution and transition weights that, for a $p$th order model, depend on the full distribution of the preceding $p$ observations. Specifically, the transition weight of each regime increases in its relative weighted likelihood. This data-driven approach facilitates capturing complex switching dynamics, enhancing the identification of gradual regime shifts. In an empirical…