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Statistical identification in panel structural vector autoregressive models b...
This paper introduces a novel panel approach to structural vector autoregressive analysis. For identification, we impose independence of structural innovations at the pooled... -
Global Financial Uncertainty (replication data)
Giovanni Caggiano and Efrem Castelnuovo's "Global Financial Uncertainty" dataset. It contains: i) the monthly volatility data used to estimate our global, region, and...
