Blar i BI Open på tidsskrift "Quantitative Economics"
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Dealing with misspecification in structural macroeconometric models
(Journal article; Peer reviewed, 2021)We consider a set of potentially misspecified structural models, geometrically combine their likelihood functions, and estimate the parameters using composite methods. In a Monte Carlo study, composite estimators dominate ... -
Locally Robust Inference for Non-Gaussian SVAR models
(Journal article; Peer reviewed, 2024)All parameters in structural vector autoregressive (SVAR) models are locally identified when the structural shocks are independent and follow non‐Gaussian distributions. Unfortunately, standard inference methods that exploit ...