Identifying VARS based on high frequency futures data
- 1 September 2004
- journal article
- Published by Elsevier in Journal of Monetary Economics
- Vol. 51 (6) , 1107-1131
- https://doi.org/10.1016/j.jmoneco.2003.11.001
Abstract
No abstract availableKeywords
All Related Versions
This publication has 22 references indexed in Scilit:
- The Fed and Interest Rates—A High-Frequency IdentificationAmerican Economic Review, 2002
- Monetary Policy and Market Interest RatesAmerican Economic Review, 2001
- Output Fluctuations in the United States: What Has Changed Since the Early 1980's?American Economic Review, 2000
- GMM with Weak IdentificationEconometrica, 2000
- The robustness of identified VAR conclusions about moneyCarnegie-Rochester Conference Series on Public Policy, 1998
- Comment on Glenn Rudebusch's "Do Measures of Monetary Policy in a Var Make Sense?"International Economic Review, 1998
- Measuring Monetary PolicyThe Quarterly Journal of Economics, 1998
- Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic ModelsEconometrica, 1997
- Inferring the rank of a matrixJournal of Econometrics, 1997
- Macroeconomics and RealityEconometrica, 1980