OASIS is a new order- and scale-invariant identification method for SVARs that optimizes a weighted correlation objective and outperforms recursive Cholesky schemes both theoretically and in 22 published applications.
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Principled Identification of Structural Dynamic Models
OASIS is a new order- and scale-invariant identification method for SVARs that optimizes a weighted correlation objective and outperforms recursive Cholesky schemes both theoretically and in 22 published applications.