TY  - JOUR
TI  - Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
AU  - Soren Johansen
JO  - Econometrica
PY  - 1991
VL  - 59
IS  - 6
DO  - 10.2307/2938278
UR  - https://doi.org/10.2307/2938278
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TY  - JOUR
TI  - Macroeconomics and Reality
AU  - Christopher A. Sims
JO  - Econometrica
PY  - 1980
VL  - 48
IS  - 1
DO  - 10.2307/1912017
UR  - https://doi.org/10.2307/1912017
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TY  - JOUR
TI  - Estimation and Inference of Impulse Responses by Local Projections
AU  - Òscar Jordà
JO  - American Economic Review
PY  - 2005
VL  - 95
IS  - 1
DO  - 10.1257/0002828053828518
UR  - https://doi.org/10.1257/0002828053828518
ER  -


TY  - JOUR
TI  - Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
AU  - Gary Koop
AU  - Dimitris Korobilis
JO  - Foundations and Trends® in Econometrics
PY  - 2010
VL  - 3
IS  - 4
DO  - 10.1561/0800000013
UR  - https://doi.org/10.1561/0800000013
ER  -


TY  - JOUR
TI  - Drifts and volatilities: monetary policies and outcomes in the post WWII US
AU  - Timothy Cogley
AU  - Thomas J. Sargent
JO  - Review of Economic Dynamics
PY  - 2005
VL  - 8
IS  - 2
DO  - 10.1016/j.red.2004.10.009
UR  - https://doi.org/10.1016/j.red.2004.10.009
ER  -


TY  - JOUR
TI  - Generalized impulse response analysis in linear multivariate models
AU  - M. Hashem Pesaran
AU  - Yongcheol Shin
JO  - Economics Letters
PY  - 1998
VL  - 58
IS  - 1
DO  - 10.1016/s0165-1765(97)00214-0
UR  - https://doi.org/10.1016/s0165-1765(97)00214-0
ER  -


TY  - JOUR
TI  - Statistical inference in vector autoregressions with possibly integrated processes
AU  - Hiro Y. Toda
AU  - Taku Yamamoto
JO  - Journal of Econometrics
PY  - 1995
VL  - 66
IS  - 1-2
DO  - 10.1016/0304-4076(94)01616-8
UR  - https://doi.org/10.1016/0304-4076(94)01616-8
ER  -


TY  - JOUR
TI  - Impulse response analysis in nonlinear multivariate models
AU  - Gary M. Koop
AU  - M. Hashem Pesaran
AU  - Simon Potter
JO  - Journal of Econometrics
PY  - 1996
VL  - 74
IS  - 1
DO  - 10.1016/0304-4076(95)01753-4
UR  - https://doi.org/10.1016/0304-4076(95)01753-4
ER  -


TY  - JOUR
TI  - Estimating Vector Autoregressions with Panel Data
AU  - Douglas Holtz‐Eakin
AU  - Whitney K. Newey
AU  - Harvey S. Rosen
JO  - Econometrica
PY  - 1988
VL  - 56
IS  - 6
DO  - 10.2307/1913103
UR  - https://doi.org/10.2307/1913103
ER  -


TY  - JOUR
TI  - Time Varying Structural Vector Autoregressions and Monetary Policy
AU  - Giorgio E. Primiceri
JO  - The Review of Economic Studies
PY  - 2005
VL  - 72
IS  - 3
DO  - 10.1111/j.1467-937x.2005.00353.x
UR  - https://doi.org/10.1111/j.1467-937x.2005.00353.x
ER  -


TY  - JOUR
TI  - Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach
AU  - Ben Bernanke
AU  - Jean L. Boivin
AU  - Piotr Eliasz
JO  - The Quarterly Journal of Economics
PY  - 2005
VL  - 120
IS  - 1
DO  - 10.1162/0033553053327452
UR  - https://doi.org/10.1162/0033553053327452
ER  -


TY  - JOUR
TI  - A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
AU  - Andrew Ang
AU  - Monika Piazzesi
JO  - Journal of Monetary Economics
PY  - 2003
VL  - 50
IS  - 4
DO  - 10.1016/s0304-3932(03)00032-1
UR  - https://doi.org/10.1016/s0304-3932(03)00032-1
ER  -


TY  - JOUR
TI  - Finite state markov-chain approximations to univariate and vector autoregressions
AU  - George E. Tauchen
JO  - Economics Letters
PY  - 1986
VL  - 20
IS  - 2
DO  - 10.1016/0165-1765(86)90168-0
UR  - https://doi.org/10.1016/0165-1765(86)90168-0
ER  -


TY  - JOUR
TI  - Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions
AU  - Nikolaos Antonakakis
AU  - Ioannis Chatziantoniou
AU  - David Gabauer
JO  - Journal of risk and financial management
PY  - 2020
VL  - 13
IS  - 4
DO  - 10.3390/jrfm13040084
UR  - https://doi.org/10.3390/jrfm13040084
ER  -


TY  - JOUR
TI  - Vector Autoregressions
AU  - James H. Stock
AU  - Mark W. Watson
JO  - The Journal of Economic Perspectives
PY  - 2001
VL  - 15
IS  - 4
DO  - 10.1257/jep.15.4.101
UR  - https://doi.org/10.1257/jep.15.4.101
ER  -


TY  - JOUR
TI  - Forecasting With Bayesian Vector Autoregressions—Five Years of Experience
AU  - Robert B. Litterman
JO  - Journal of Business and Economic Statistics
PY  - 1986
VL  - 4
IS  - 1
DO  - 10.1080/07350015.1986.10509491
UR  - https://doi.org/10.1080/07350015.1986.10509491
ER  -


TY  - JOUR
TI  - Estimation of Panel Vector Autoregression in Stata
AU  - Michael R.M. Abrigo
AU  - Inessa Love
JO  - The Stata Journal Promoting communications on statistics and Stata
PY  - 2016
VL  - 16
IS  - 3
DO  - 10.1177/1536867x1601600314
UR  - https://doi.org/10.1177/1536867x1601600314
ER  -