The main substantive finding of the recent structural vector autoregression literature with a differenced specification of hours (DSVAR) is that technology shocks lead to a fall in hours. Researchers ...

is a column vector of structural parameters, and is normally and independently distributed with a mean of 0 and a variance of 2. Note that in this parameterization, the signs of the autoregressive ...

Annals of Economics and Statistics, No. 123/124, SPECIAL ISSUE ON RECENT DEVELOPMENTS IN FINANCIAL ECONOMETRICS (December 2016), pp. 333-361 (29 pages) https://doi ...

This paper provides a quantitative assessment of the relative importance of exogenous shocks related to oil price determination on countries' exchange rates and outputs within the same framework of ...

"Still Puzzling: Evaluating the Price Puzzle in an Empirically Identified Structural Vector Autoregression," March 2013, Empirical Economics, (with Kevin Hoover and Selva Demiralp). “Does ...