Assessing Structural VARs [with Comments and Discussion]

How Structural Are Structural Parameters? [with Comments and Discussion]

Structural Panel VARs

The paper proposes a structural approach to VAR analysis in panels, which takes into account responses to both idiosyncratic and common structural shocks, while permitting full cross member heterogeneity of the response dynamics. In the context of this structural approach, estimation of the loading matrices for the decomposition into idiosyncratic versus common shocks is straightforward and tra...

Comments and Discussion

Comments and Discussion

Efficient Inference in Non-Gaussian Structural VARs