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 ...

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

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 ...

In order to examine the factors influencing Australian domestic prices in the second half of the nineteenth century, annual data over the period 1861-1900 are used to estimate a structural vector ...