Tractable Bayesian estimation of smooth transition vector autoregressive models
提出一种可处理的贝叶斯方法估计平滑转换VAR模型的非线性参数，并用外部工具识别结构性冲击。实证表明货币政策在经济扩张期的影响大于衰退期，且校准参数可能导致关键结果丢失。
Summary We develop a tractable way of estimating the parameters ruling the nonlinearity in the popular smooth transition VAR model, and identify structural shocks using external instruments. This jointly offers an alternative to the option of identifying shocks recursively and calibrating key parameters. In an illustration, we show that monetary policy shocks generate larger effects on economic activity during economic expansions compared to economic recessions. We then document that calibrating rather than estimating the parameters ruling the nonlinearity of the model can lead to values for which the key results are lost. This suggests caution in the calibration of these parameters.