Items where Author is "Bruns, Martin"

In Press

Bruns, Martin and Piffer, Michele (2023) Tractable Bayesian estimation of smooth transition vector autoregressive models. The Econometrics Journal. ISSN 1368-4221 (In Press)

Published

Bruns, Martin and Lütkepohl, Helmut (2024) Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies. Journal of Economic Dynamics and Control, 161. ISSN 0165-1889

Bruns, Martin and Luetkepohl, Helmut (2023) An alternative bootstrap for proxy vector autoregressions. Computational Economics, 62 (4). pp. 1857-1882. ISSN 0927-7099

Bruns, Martin and Lütkepohl, Helmut (2023) Have the effects of shocks to oil price expectations changed? Evidence from heteroskedastic proxy vector autoregressions. Economics Letters, 233. ISSN 0165-1765

Bruns, Martin and Piffer, Michele (2023) A new posterior sampler for Bayesian structural vector autoregressive models. Quantitative Economics, 14 (4). pp. 1221-1250. ISSN 1759-7331

Bruns, Martin and Luetkepohl, Helmut (2022) Comparison of local projection estimators for proxy vector autoregressions. Journal of Economic Dynamics and Control, 134. ISSN 0165-1889

Bruns, Martin (2021) Proxy vector autoregressions in a data-rich environment. Journal of Economic Dynamics and Control, 123. ISSN 0165-1889

Bruns, Martin and Poghosyan, Tigran (2018) Leading indicators of fiscal distress: evidence from extreme bounds analysis. Applied Economics, 50 (13). pp. 1454-1478. ISSN 0003-6846

Bruns, Martin and Piffer, Michele (2018) Bayesian Structural VAR models: a new approach for prior beliefs on impulse responses.