Identification of smooth-transition VAR structural parameters using an external instrument requires supplementary assumptions relative to the benchmark linear case. This paper shows that such additional discretion may have relevant implications for impulse response functions estimates.
Smooth-transition SVAR and external instrument: Insights on the identifying assumptions
Barci G.
2024-01-01
Abstract
Identification of smooth-transition VAR structural parameters using an external instrument requires supplementary assumptions relative to the benchmark linear case. This paper shows that such additional discretion may have relevant implications for impulse response functions estimates.
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