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book.bib
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@article{Ramey_2011,
ISSN = {00335533, 15314650},
URL = {http://www.jstor.org/stable/23015663},
author = {Valerie A. Ramey},
journal = {The Quarterly Journal of Economics},
number = {1},
pages = {1--50},
publisher = {Oxford University Press},
title = {Identifying government spending shocks: It's all tn the timing},
urldate = {2023-01-29},
volume = {126},
year = {2011}
}
@article{Canova_Cicarelli_2009,
author = {Canova, Fabio and Ciccarelli, Matteo},
title = {Estimating Multi-country VAR models},
journal = {International Economic Review},
volume = {50},
number = {3},
pages = {929-959},
year = {2009}
}
@article{Canova_Cicarelli_2004,
title = {Forecasting and turning point predictions in a Bayesian panel VAR model},
journal = {Journal of Econometrics},
volume = {120},
number = {2},
pages = {327-359},
year = {2004},
author = {Fabio Canova and Matteo Ciccarelli},
}
@incollection{DelNegro_Schorfheide_2010,
author = {del Negro, Marco},
isbn = {9780199559084},
title = "{293 Bayesian Macroeconometrics}",
booktitle = "{The Oxford Handbook of Bayesian Econometrics}",
publisher = {Oxford University Press},
year = {2011},
month = {09},
}
@TechReport{Canova_Cicarelli_2013,
author={Canova, Fabio and Ciccarelli, Matteo},
title={{Panel Vector Autoregressive Models: A Survey}},
year=2013,
month=Mar,
institution={C.E.P.R. Discussion Papers},
type={CEPR Discussion Papers},
number={9380},
}
@article{Levchenko_Pandalai-Nayar_2018,
author = {Levchenko, Andrei A and Pandalai-Nayar, Nitya},
title = "{Tfp, News, and “Sentiments”: the International Transmission of Business Cycles}",
journal = {Journal of the European Economic Association},
volume = {18},
number = {1},
pages = {302-341},
year = {2018},
month = {11},
}
@TechReport{CesaBianchi_Ferrero_2021,
author={Cesa-Bianchi, Ambrogio and Ferrero, Andrea},
title={{The Transmission of Keynesian Supply Shocks}},
year=2021,
institution={C.E.P.R. Discussion Papers},
type={CEPR Discussion Papers},
url={https://ideas.repec.org/p/cpr/ceprdp/16430.html},
number={16430},
}
@TechReport{Jarocinski_2021,
author={Jarocinski, Marek},
title={{Estimating the Fed’s Unconventional Policy Shocks}},
year=2021,
institution={European Central Bank},
type={Working Paper Series},
url={https://ideas.repec.org/p/ecb/ecbwps/20210.html},
number={20210}
}
@article{AntolinDiaz_RubioRamirez_2018,
Author = {Antolín-D\'iaz, Juan and Rubio-Ram\'irez, Juan F.},
Title = {Narrative Sign Restrictions for SVARs},
Journal = {American Economic Review},
Volume = {108},
Number = {10},
Year = {2018},
Pages = {2802-29},
DOI = {10.1257/aer.20161852},
URL = {https://www.aeaweb.org/articles?id=10.1257/aer.20161852}}
@article{Rigobon_2003,
author = {Rigobon, Roberto},
title = "{Identification Through Heteroskedasticity}",
journal = {The Review of Economics and Statistics},
volume = {85},
number = {4},
pages = {777-792},
year = {2003},
month = {11},
doi = {10.1162/003465303772815727},
url = {https://doi.org/10.1162/003465303772815727},
eprint = {https://direct.mit.edu/rest/article-pdf/85/4/777/1613607/003465303772815727.pdf},
}
@Article{Litterman_Scheinkman_1991,
Title = {{Common Factors Affecting Bond Returns}},
Author = {Litterman, Robert and Scheinkman, Jose},
Journal = {Journal of Fixed Income},
Year = {1991},
Number = {1},
Pages = {54--61},
url = {https://www.math.nyu.edu/~avellane/Litterman1991.pdf}
}
@article{LUTKEPOHL20172,
title = {Structural vector autoregressions with heteroskedasticity: A review of different volatility models},
journal = {Econometrics and Statistics},
volume = {1},
pages = {2-18},
year = {2017},
issn = {2452-3062},
doi = {https://doi.org/10.1016/j.ecosta.2016.05.001},
url = {https://www.sciencedirect.com/science/article/pii/S2452306216300223},
author = {Helmut Lütkepohl and Aleksei Netšunajev},
}
@article{LANNE2010121,
title = {Structural vector autoregressions with Markov switching},
journal = {Journal of Economic Dynamics and Control},
volume = {34},
number = {2},
pages = {121-131},
year = {2010},
issn = {0165-1889},
doi = {https://doi.org/10.1016/j.jedc.2009.08.002},
url = {https://www.sciencedirect.com/science/article/pii/S0165188909001481},
author = {Markku Lanne and Helmut L\"utkepohl and Katarzyna Maciejowska},
}
@article{Lanne_Lutkepohl_2008,
author = {Lanne, Markku and L\"utkepohl, Helmut},
title = {Identifying Monetary Policy Shocks via Changes in Volatility},
journal = {Journal of Money, Credit and Banking},
volume = {40},
number = {6},
pages = {1131-1149},
doi = {https://doi.org/10.1111/j.1538-4616.2008.00151.x},
url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1538-4616.2008.00151.x},
year = {2008}
}
@article{NORMANDIN20041217,
title = {Monetary policy shocks:: Testing identification conditions under time-varying conditional volatility},
journal = {Journal of Monetary Economics},
volume = {51},
number = {6},
pages = {1217-1243},
year = {2004},
issn = {0304-3932},
doi = {https://doi.org/10.1016/j.jmoneco.2003.11.002},
url = {https://www.sciencedirect.com/science/article/pii/S0304393204000698},
author = {Michel Normandin and Louis Phaneuf},
}
@article{KUTTNER2001523,
title = {Monetary policy surprises and interest rates: Evidence from the Fed funds futures market},
journal = {Journal of Monetary Economics},
volume = {47},
number = {3},
pages = {523-544},
year = {2001},
issn = {0304-3932},
doi = {https://doi.org/10.1016/S0304-3932(01)00055-1},
url = {https://www.sciencedirect.com/science/article/pii/S0304393201000551},
author = {Kenneth N Kuttner},
}
@article{Stock_Watson_2018,
author = {Stock, James H. and Watson, Mark W.},
title = {Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments},
journal = {The Economic Journal},
volume = {128},
number = {610},
pages = {917-948},
doi = {https://doi.org/10.1111/ecoj.12593},
url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/ecoj.12593},
year = {2018}
}
@Article{Romer_Romer_2004,
author={Christina D. Romer and David H. Romer},
title={{A New Measure of Monetary Shocks: Derivation and Implications}},
journal={American Economic Review},
year=2004,
volume={94},
number={4},
pages={1055-1084},
url={https://ideas.repec.org/a/aea/aecrev/v94y2004i4p1055-1084.html}
}
@Article{Piazzesi_Swanson_2008,
author={Piazzesi, Monika and Swanson, Eric T.},
title={{Futures prices as risk-adjusted forecasts of monetary policy}},
journal={Journal of Monetary Economics},
year=2008,
volume={55},
number={4},
pages={677-691},
url={https://ideas.repec.org/a/eee/moneco/v55y2008i4p677-691.html}
}
@Article{Gurkaynak_et_al_2005,
author={Refet S G\"urkaynak and Brian Sack and Eric Swanson},
title={{Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements}},
journal={International Journal of Central Banking},
year=2005,
volume={1},
number={1},
url={https://ideas.repec.org/a/ijc/ijcjou/y2005q2a2.html}
}
@Article{Cochrane_Piazzesi_2002,
author = "Cochrane, John H and Piazzesi, Monika",
title={{The Fed and Interest Rates - A High-Frequency Identification}},
journal={American Economic Review},
year=2002,
volume={92},
number={2},
pages={90-95},
url={https://ideas.repec.org/a/aea/aecrev/v92y2002i2p90-95.html}
}
@InCollection{Stock_Watson_2016,
author={Stock, J.H. and Watson, M.W.},
editor={J. B. Taylor and Harald Uhlig},
title={{Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics}},
booktitle={{Handbook of Macroeconomics}},
publisher={Elsevier},
year=2016,
month={December},
volume={2},
series={Handbook of Macroeconomics},
chapter={0},
pages={415-525},
doi={10.1016/bs.hesmac.2016.04},
url={https://ideas.repec.org/h/eee/macchp/v2-415.html}
}
@Article{McCracken_Ng_2016,
author={Michael W. McCracken and Serena Ng},
title={{FRED-MD: A Monthly Database for Macroeconomic Research}},
journal={Journal of Business \& Economic Statistics},
year=2016,
volume={34},
number={4},
pages={574-589},
doi={10.1080/07350015.2015.108},
url={https://ideas.repec.org/a/taf/jnlbes/v34y2016i4p574-589.html}
}
@ARTICLE{MacKinnon_White_1985,
title = {Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties},
author = {MacKinnon, James and White, Halbert},
year = {1985},
journal = {Journal of Econometrics},
volume = {29},
number = {3},
pages = {305-325},
url = {https://EconPapers.repec.org/RePEc:eee:econom:v:29:y:1985:i:3:p:305-325}
}
@article{Durbin_Watson_1950,
author = {Durbin, J. and Watson, G. S.},
title = "{Testing for Serial Correlation in Least Squares Regression. I}",
journal = {Biometrika},
volume = {37},
number = {3-4},
pages = {409-428},
year = {1950},
month = {12},
issn = {0006-3444},
doi = {10.1093/biomet/37.3-4.409},
url = {https://doi.org/10.1093/biomet/37.3-4.409},
eprint = {https://academic.oup.com/biomet/article-pdf/37/3-4/409/422190/37-3-4-409.pdf},
}
@article{Durbin_Watson_1951,
author = {Durbin, J. and Watson, G. S.},
title = "{Testing for Serial Correlation in Least Squares Regression. II}",
journal = {Biometrika},
volume = {38},
number = {1-2},
pages = {159-178},
year = {1951},
month = {06},
issn = {0006-3444},
doi = {10.1093/biomet/38.1-2.159},
url = {https://doi.org/10.1093/biomet/38.1-2.159},
eprint = {https://academic.oup.com/biomet/article-pdf/38/1-2/159/678895/38-1-2-159.pdf},
}
@article{White_1980,
ISSN = {00129682, 14680262},
URL = {http://www.jstor.org/stable/1912934},
abstract = {This paper presents a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic. This estimator does not depend on a formal model of the structure of the heteroskedasticity. By comparing the elements of the new estimator to those of the usual covariance estimator, one obtains a direct test for heteroskedasticity, since in the absence of heteroskedasticity, the two estimators will be approximately equal, but will generally diverge otherwise. The test has an appealing least squares interpretation.},
author = {Halbert White},
journal = {Econometrica},
number = {4},
pages = {817--838},
publisher = {[Wiley, Econometric Society]},
title = {A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity},
urldate = {2022-09-09},
volume = {48},
year = {1980}
}
@article{Cochrane_Orcutt_1949,
author = { D. Cochrane and G. H. Orcutt },
title = {Application of Least Squares Regression to Relationships Containing Auto-Correlated Error Terms},
journal = {Journal of the American Statistical Association},
volume = {44},
number = {245},
pages = {32-61},
year = {1949},
publisher = {Taylor & Francis},
doi = {10.1080/01621459.1949.10483290},
URL = {https://doi.org/10.1080/01621459.1949.10483290}
}
@book{Greene2003Econometric,
added-at = {2018-06-18T21:23:34.000+0200},
author = {Greene, William H.},
biburl = {https://www.bibsonomy.org/bibtex/28ded70f02507563c15bfdd8dd2208e12/pbett},
citeulike-article-id = {14358797},
edition = {Fifth},
file = {Greene_EconometricAnalysis_5thEd_2002.pdf},
keywords = {textbook statistics economics},
posted-at = {2017-05-17 18:18:23},
priority = {2},
publisher = {Pearson Education},
timestamp = {2018-06-22T18:36:55.000+0200},
title = {Econometric Analysis},
url = {http://pages.stern.nyu.edu/~wgreene/Text/econometricanalysis.htm},
year = 2003
}
@inbook{stock_yogo_2005, place={Cambridge}, title={Testing for Weak Instruments in Linear IV Regression}, DOI={10.1017/CBO9780511614491.006}, booktitle={Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg}, publisher={Cambridge University Press}, author={Stock, James H. and Yogo, Motohiro}, editor={Andrews, Donald W. K. and Stock, James H.Editors}, year={2005}, pages={80–108}}
@TechReport{Uhlig_2004,
author={Harald Uhlig},
title={{What moves GNP?}},
year=2004,
month=Aug,
institution={Econometric Society},
type={Econometric Society 2004 North American Winter Meetings},
url={https://ideas.repec.org/p/ecm/nawm04/636.html},
number={636},
}
@article{DEE20041697,
title = {Are there civic returns to education?},
journal = {Journal of Public Economics},
volume = {88},
number = {9},
pages = {1697-1720},
year = {2004},
issn = {0047-2727},
doi = {https://doi.org/10.1016/j.jpubeco.2003.11.002},
url = {https://www.sciencedirect.com/science/article/pii/S0047272703002068},
author = {Thomas S. Dee}
}
@article{Arias_et_al_2018,
author = {Arias, Jonas E. and Rubio-Ramírez, Juan F. and Waggoner, Daniel F.},
title = {Inference Based on Structural Vector Autoregressions Identified With Sign and Zero Restrictions: Theory and Applications},
journal = {Econometrica},
volume = {86},
number = {2},
pages = {685-720},
doi = {https://doi.org/10.3982/ECTA14468},
url = {https://onlinelibrary.wiley.com/doi/abs/10.3982/ECTA14468},
eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.3982/ECTA14468},
year = {2018}
}
@article{Uhlig_2005,
title = {What are the effects of monetary policy on output? Results from an agnostic identification procedure},
journal = {Journal of Monetary Economics},
volume = {52},
number = {2},
pages = {381-419},
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